Exotic Derivatives under Stochastic Volatility Models with Jumps
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Publication:5198570
DOI10.1007/978-3-642-18412-3_17zbMath1233.91286arXiv0912.2595OpenAlexW1651942317MaRDI QIDQ5198570
Martijn R. Pistorius, Aleksandar Mijatović
Publication date: 8 August 2011
Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.2595
volatility derivativesvolatility surfacestochastic volatility models with jumpsdouble barrier optionforward starting optionscomplex matrix Wiener-Hopf factorizationfluid embedding
Markov renewal processes, semi-Markov processes (60K15) Derivative securities (option pricing, hedging, etc.) (91G20)
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