Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678)
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scientific article; zbMATH DE number 7797367
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps |
scientific article; zbMATH DE number 7797367 |
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Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (English)
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31 January 2024
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analytical solvability
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exact simulation
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Hilbert transform method
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interpolation
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Lévy jumps
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path-dependent derivatives
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stochastic volatility
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