Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (Q2240016)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? |
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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (English)
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5 November 2021
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finance
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derivatives
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jump-diffusion models
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Kalman filter
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quasi-maximum likelihood
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