Unifying pricing formula for several stochastic volatility models with jumps
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Publication:4620219
DOI10.1002/asmb.2248zbMath1420.91444OpenAlexW2604116365MaRDI QIDQ4620219
Tomáš Sobotka, Milan Mrázek, Jan Pospíšil, Falko Baustian
Publication date: 8 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2248
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Related Items (7)
Isogeometric analysis in option pricing ⋮ Calibration and simulation of Heston model ⋮ Approximate option pricing under a two-factor Heston-Kou stochastic volatility model ⋮ Solution of option pricing equations using orthogonal polynomial expansion. ⋮ DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS ⋮ DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS ⋮ Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
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