Highly Efficient Option Valuation Under the Double Jump Framework with Stochastic Volatility and Jump Intensity Based on Shannon Wavelet Inverse Fourier Technique

2017 ◽  
Author(s):  
Chun-Sung Huang ◽  
John G O'Hara ◽  
Sure Mataramvura
Keyword(s):  
Stochastic Volatility ◽  
Option Valuation ◽  
Fourier Technique ◽  
Highly Efficient ◽  
Jump Intensity ◽  
Shannon Wavelet ◽  
Efficient Option

scholarly journals Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options

2017 ◽  
Vol 117 ◽  
pp. 115-138 ◽  
Author(s):  
G. Colldeforns-Papiol ◽  
L. Ortiz-Gracia ◽  
C.W. Oosterlee
Keyword(s):  
Two Dimensional ◽  
European Options ◽  
Fourier Technique ◽  
Shannon Wavelet

Efficient option valuation using trees

2002 ◽  
Vol 9 (3) ◽  
pp. 163-178
Author(s):  
David C. Heath ◽  
Stefano Herzel
Keyword(s):  
Option Valuation ◽  
Efficient Option
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