The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques
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References listed on IDEAS
- Oleksandr Zhylyevskyy, 2010.
"A fast Fourier transform technique for pricing American options under stochastic volatility,"
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- repec:eee:matsoc:v:87:y:2017:i:c:p:85-91 is not listed on IDEAS
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016.
"Early exercise decision in American options with dividends, stochastic volatility and jumps,"
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
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More about this item
KeywordsCompound options; Heston model; Fourier transform techniques; Characteristic functions; G13; C63;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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