LSV models with stochastic interest rates and correlated jumps

DOI10.1080/00207160.2016.1188923zbMath1367.91193arXiv1511.01460OpenAlexW1948900764MaRDI QIDQ4976326

Andrey Itkin

Publication date: 28 July 2017

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

Full work available at URL: https://arxiv.org/abs/1511.01460

zbMATH Keywords

splittingmatrix exponentialstochastic interest ratesPIDEcorrelated Lévy processesLSV model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference and finite volume methods for ordinary differential equations (65L12) Integro-partial differential equations (35R09)

Related Items (2)

Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps

Cites Work

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