"Highly efficient Shannon wavelet-based pricing of power options under the ..."

Chun-Sung Huang, John G. O'Hara, Sure Mataramvura (2022)

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DOI: 10.1016/J.AMC.2021.126669

access: open

type: Journal Article

metadata version: 2023-08-28

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Chun-Sung Huang, John G. O'Hara, Sure Mataramvura:
Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility. Appl. Math. Comput. 414: 126669 (2022)

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