Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude

DOI10.1080/00207160.2016.1158814zbMath1367.91198OpenAlexW3121843413MaRDI QIDQ4976303

Caiyan Liu, Shimin Guo, Youfa Sun

Publication date: 28 July 2017

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2016.1158814

zbMATH Keywords

exponential distributionjump-diffusionHestonFourier cosine methodvolatility sadnessvolatility smile/smirk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)

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Cites Work

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