Fourier-Cosine based option pricing for SSE 50 ETF under non-affine stochastic volatility model

SUN Youfa, WU Biyun, GUO Ting, LIU Caiyan

Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (4) : 888-904.

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Systems Engineering - Theory & Practice ›› 2020, Vol. 40 ›› Issue (4) : 888-904. DOI: 10.12011/1000-6788-2018-2403-17

Fourier-Cosine based option pricing for SSE 50 ETF under non-affine stochastic volatility model

  • SUN Youfa1, WU Biyun1, GUO Ting1, LIU Caiyan2
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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2020, 40(4): 888-904 https://doi.org/10.12011/1000-6788-2018-2403-17

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