Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT

Wang, Libin; Liu, Lixia

doi:10.1080/03610926.2024.2427233

Communications in Statistics - Theory and Methods

2024

DOI: 10.1080/03610926.2024.2427233

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Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT

Libin Wang,

Lixia Liu

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Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT

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References 36 publications

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