Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods

Mathematical Finance

Volumn 7, Issue 4, 1997, Pages 413-426

  Scott, Louis O ^a  

^a MORGAN STANLEY   (United States)

Author keywords

Fourier inversion; Jump processes; Option pricing; Stochastic volatility

Indexed keywords

EID: 0031476682     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00039     Document Type: Article

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