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zbMath1199.91205MaRDI QIDQ3404704

Guohe Deng, Xiang-Qun Yang

Publication date: 12 February 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic volatility American option double exponential jump-diffusion model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

American continuous-installment options of barrier type

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