Approximate option pricing under a two-factor Heston-Kou stochastic volatility model (Q6149566)
From MaRDI portal
scientific article; zbMATH DE number 7800178
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximate option pricing under a two-factor Heston-Kou stochastic volatility model |
scientific article; zbMATH DE number 7800178 |
Statements
Approximate option pricing under a two-factor Heston-Kou stochastic volatility model (English)
0 references
6 February 2024
0 references
Heston-Kou model
0 references
stochastic volatility
0 references
option price decomposition
0 references
multi-factor models
0 references
0 references
0 references
0 references
0 references
