EXACT PRICING WITH STOCHASTIC VOLATILITY AND JUMPS

DOI10.1142/S0219024910006042zbMath1233.91261OpenAlexW3123416460MaRDI QIDQ2786345

Sara Pasquali, Barbara Trivellato, Fernanda D'ippoliti, Enrico Moretto

Publication date: 21 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006042

zbMATH Keywords

Monte Carlo simulationderivative valuationstochastic volatility jump-diffusion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes ⋮ Option pricing under deformed Gaussian distributions ⋮ Deformed exponentials and applications to finance ⋮ Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps ⋮ Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion ⋮ Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model ⋮ Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude

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