The Jacobi stochastic volatility model
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Publication:1650944
DOI10.1007/s00780-018-0364-8zbMath1402.91746arXiv1605.07099OpenAlexW3122549126WikidataQ129821103 ScholiaQ129821103MaRDI QIDQ1650944
Damien Ackerer, Damir Filipović, Sergio Pulido
Publication date: 16 July 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.07099
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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