scholarly journals Application of the improved fast Gauss transform to option pricing under jump-diffusion processes

2014 ◽  
Vol 18 (2) ◽  
pp. 31-55 ◽  
Author(s):  
Takayuki Sakuma ◽  
Yuji Yamada
Keyword(s):  
Option Pricing ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
Gauss Transform ◽  
Fast Gauss Transform

scholarly journals APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING

2006 ◽  
Vol 16 (1) ◽  
pp. 21-52 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Peter Ritchken ◽  
Zhiqiang Sun
Keyword(s):  
Option Pricing ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes
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