Option pricing when asset returns jump interruptedly (Q6570855)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Option pricing when asset returns jump interruptedly |
scientific article; zbMATH DE number 7879685
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing when asset returns jump interruptedly |
scientific article; zbMATH DE number 7879685 |
Statements
Option pricing when asset returns jump interruptedly (English)
0 references
10 July 2024
0 references
heavy tail
0 references
regime switching
0 references
jump-diffusion model
0 references
interrupted Poisson process
0 references
analytical solution
0 references
option pricing
0 references
volatility smile
0 references
0 references
0 references
