The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes

DOI10.1016/J.CAM.2018.07.048zbMath1418.91552OpenAlexW2886346580WikidataQ129393663 ScholiaQ129393663MaRDI QIDQ1631415

L. Gómez-Valle, J. Martínez-Rodríguez

Publication date: 6 December 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://uvadoc.uva.es/handle/10324/32346

zbMATH Keywords

stochastic volatilitynumerical differentiationinterest rate modelnonparametric estimationjump-diffusion stochastic processesrisk-neutral measure

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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