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Mathematical Problems in Engineering
Volume 2012 (2012), Article ID 761637, 17 pages
http://dx.doi.org/10.1155/2012/761637
Research Article

A Fast Fourier Transform Technique for Pricing European Options with Stochastic Volatility and Jump Risk

1School of Science, Xi'an Jiaotong University, Xi'an 710049, China
2School of Science, Xi'an University of Posts and Telecommunications, Xi'an 710121, China
3Department of Mathematics, The University of Iowa, Iowa City, IA 52242, USA

Received 7 April 2011; Revised 15 October 2011; Accepted 31 October 2011

Academic Editor: M. D. S. Aliyu

Copyright © 2012 Su-mei Zhang and Li-he Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citations to this Article [1 citation]

The following is the list of published articles that have cited the current article.

  • Sumei Zhang, and Lihe Wang, “Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps,” Applied Mathematics and Computation, vol. 219, no. 23, pp. 10928–10933, 2013. View at Publisher · View at Google Scholar