A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL (Q5369467)
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scientific article; zbMATH DE number 6792332
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL |
scientific article; zbMATH DE number 6792332 |
Statements
A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL (English)
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17 October 2017
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jump diffusion
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stochastic volatility
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partial differential equations
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Hamilton-Jacobi-Bellman equations
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viscosity solutions
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