A stochastic-local volatility model with Lévy jumps for pricing derivatives
From MaRDI portal
Publication:6160626
DOI10.1016/j.amc.2023.128034MaRDI QIDQ6160626
Hyun-Gyoon Kim, Jeong-Hoon Kim
Publication date: 26 June 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
stochastic volatilityLévy processderivatives pricingpartial integro-differential equationelasticity of variance
Actuarial science and mathematical finance (91Gxx) Markov processes (60Jxx) Stochastic processes (60Gxx)
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