Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility (Q2673416)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility |
scientific article |
Statements
Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility (English)
0 references
9 June 2022
0 references
vulnerable option
0 references
stochastic volatility
0 references
jump-diffusion
0 references
Ornstein-Uhlenbeck (OU) process
0 references
asymptotic analysis
0 references
0 references
0 references
0 references
0 references
0 references
