LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747)
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scientific article; zbMATH DE number 6288164
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS |
scientific article; zbMATH DE number 6288164 |
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LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (English)
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25 April 2014
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local stochastic volatility
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Lévy process
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analytical approximation
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characteristic function
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partial integro-differential equation
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Fourier methods
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