LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS

DOI10.1142/S0219024913500507zbMath1293.91142OpenAlexW3125719152MaRDI QIDQ5411747

Stefano Pagliarani, Andrea Pascucci

Publication date: 25 April 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500507

zbMATH Keywords

characteristic functionLévy processanalytical approximationpartial integro-differential equationFourier methodslocal stochastic volatility

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Integro-partial differential equations (45K05) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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