E. Pillay, J. G. O Hara. FFT based option pricing under a mean reverting process with stochastic volatility and jumps. J. Computational Applied Mathematics, 235(12):3378-3384, 2011. [doi]
@article{PillayO11,
title = {FFT based option pricing under a mean reverting process with stochastic volatility and jumps},
author = {E. Pillay and J. G. O Hara},
year = {2011},
doi = {10.1016/j.cam.2010.10.024},
url = {http://dx.doi.org/10.1016/j.cam.2010.10.024},
tags = {rule-based, e-science},
researchr = {https://researchr.org/publication/PillayO11},
cites = {0},
citedby = {0},
journal = {J. Computational Applied Mathematics},
volume = {235},
number = {12},
pages = {3378-3384},
}