OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES (Q2940221)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES |
scientific article |
Statements
OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES (English)
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26 January 2015
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stochastic volatility model
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jump-diffusion
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stochastic differential equation
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risk-neutral option pricing
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characteristic function
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