138
Views
1
CrossRef citations to date
0
Altmetric
Section B

Numerical evaluation of complex logarithms in the Cox–Ingersoll–Ross model

, &
Pages 1083-1095 | Received 17 Aug 2012, Accepted 09 Nov 2012, Published online: 14 Feb 2013

References

  • Bakshi , G. and Madan , D. 2000 . Spanning and derivative-security valuation . J. Financ. Econ. , 55 : 205 – 238 . (doi:10.1016/S0304-405X(99)00050-1)
  • Brigo , D. and Chourdakis , K. 2009 . Counterparty risk for credit default Swaps: Impact of spread volatility and default correlation . Int. J. Theor. Appl. Finance , 12 : 1007 – 1026 . (doi:10.1142/S0219024909005567)
  • Carr , P. and Madan , D. 1999 . Option valuation using the fast Fourier transform . J. Comput. Finance , 2 : 61 – 73 .
  • Chourdakis , K. 2005 . Option pricing using the fractional FFT . J. Comput. Finance , 8 : 1 – 18 .
  • Cox , J. , Ingersoll , J. and Ross , S. 1985 . A theory of the term structure of interest rates . Econometrica , 53 : 385 – 408 . (doi:10.2307/1911242)
  • Elliot , R. J. and Kopp , P. E. 2004 . Mathematics of Financial Markets , 2 , Berlin, Heidelberg, New York : Springer Verlag .
  • Gander , W. and Gautschi , W. 2000 . Adaptive quadrature – revisited . BIT , 40 : 84 – 101 . (doi:10.1023/A:1022318402393)
  • Kahl , C. and Jäckel , P. 2005 . Not-so-complex logarithms in the Heston model . Wilmott Mag. , : 94 – 103 .
  • Lee , R. 2005 . Option pricing by transform methods: Extensions, unification, and error control . J. Comput. Finance , 7 : 51 – 86 .
  • Schöbel , R. and Zhu , J. 1999 . Stochastic volatility with an Ornstein Uhlenbeck process: An extension . Eur. Financ. Rev. , 3 : 23 – 46 . (doi:10.1023/A:1009803506170)
  • A. Sepp, Pricing European-style options under Jump diffusion processes with stochastic volatility: Application of Fourier transform, Working paper, Institute of Mathematical Statistics, University of Tartu, Tartu, Estonia, 2003.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.