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Fast Fourier Transform Based Power Option Pricing with Stochastic Interest Rate, Volatility, and Jump Intensity.
Jiexiang Huang
Wenli Zhu
Xinfeng Ruan
Published in:
J. Appl. Math. (2013)
Keyphrases
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option pricing
stock price
stock market
non stationary
black scholes
historical data
decision analysis
stock exchange
exchange rate
financial data
capital budgeting
black scholes model
financial time series
markov chain
real option
stochastic process
stochastic processes