Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
DOI10.1016/j.ejor.2021.02.004zbMath1487.91136OpenAlexW3128031213WikidataQ113875438 ScholiaQ113875438MaRDI QIDQ2240016
Christian-Oliver Ewald, Yihan Zou
Publication date: 5 November 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.02.004
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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