A revisited and stable Fourier transform method for affine jump diffusion models
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- Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
- Seungho Yang & Jaewook Lee, 2014. "Do affine jump-diffusion models require global calibration? Empirical studies from option markets," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 111-123, January.
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Keywords
Option pricing Fourier methods Gauss lobatto Quadrature schemes Calibration performances;Statistics
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