Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility

DOI10.1080/03610926.2021.1944214MaRDI QIDQ6106177

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Publication date: 27 June 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityoption pricingstochastic interest ratestochastic intensityMarkov regime switchingdouble exponential

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

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Cites Work

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