Work

Fast Fourier Transform Option Pricing: Efficient Approximation Methods Under Multi-Factor Stochastic Volatility and Jumps

Year: 2012

Type: book-chapter

Source: Springer proceedings in mathematics & statistics

DOI: 10.1007/978-1-4614-3433-7_7

Authors: J. P. F. Charpin, M. Cummins

Institutions: University of Limerick, Dublin City University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W29343244

FWCI: 2.868

Cites: 21

Cited by: 2

Related to: 10