Work

Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps

Year: 2016

Type: article

Source: SIAM Journal on Applied Mathematics

DOI: 10.1137/15100504x

Authors: C. Guardasoni, S. Sanfelici

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Vedecká Grantová Agentúra MŠVVaŠ SR a SAV

OpenAlex ID: W2227031362

FWCI: 4.588

Cites: 32

Cited by: 19

Related to: 10