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European option Pricing with stochastic volatility and jumps: Comparison of Monte Carlo and Fast Fourier transform Methods

Uro Lyi, Michael C. Fu. European option Pricing with stochastic volatility and jumps: Comparison of Monte Carlo and Fast Fourier transform Methods. In 2018 Winter Simulation Conference, WSC 2018, Gothenburg, Sweden, December 9-12, 2018. pages 1682-1693, IEEE, 2018. [doi]

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Uro Lyi

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Michael C. Fu

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