Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models (Q5219719)
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scientific article; zbMATH DE number 7179963
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models |
scientific article; zbMATH DE number 7179963 |
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Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models (English)
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12 March 2020
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average options
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local volatility models
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stochastic volatility models
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jump-diffusion models
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spread options
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asymptotic expansions
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approximation formula
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