Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes

DOI10.1155/2015/258217zbMath1337.60183OpenAlexW1559473459WikidataQ59111178 ScholiaQ59111178MaRDI QIDQ274846

Rehez Ahlip, Ante Prodan

Publication date: 25 April 2016

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/258217

zbMATH Keywords

option pricingjump-diffusion modelCIR dynamicsHeston stochastic volatility modellog-uniform jump amplitudes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80)

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