Login / Signup

Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity.

Jiexiang HuangWenli ZhuXinfeng Ruan
Published in: J. Comput. Appl. Math. (2014)
Keyphrases
  • stochastic model
  • objective function
  • sensitivity analysis
  • machine learning
  • expert systems
  • special case
  • stock price
  • decision model
  • stochastic process
  • option pricing