A self-exciting threshold jump-diffusion model for option valuation (Q343990)
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scientific article; zbMATH DE number 6654908
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A self-exciting threshold jump-diffusion model for option valuation |
scientific article; zbMATH DE number 6654908 |
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A self-exciting threshold jump-diffusion model for option valuation (English)
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21 November 2016
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option valuation
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self-exciting threshold model
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generalized Esscher transform
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piecewise linear partial differential equation
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quadratic approximation
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0.94691926
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0.90639126
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0.89582515
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0.89087933
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0.88650554
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