Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model (Q614589): Difference between revisions

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-Damiaan Lemmens
@@ Property / author: Damiaan Lemmens / rank @@
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-Jacques Tempère
@@ Property / author: Jacques Tempère / rank @@
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@@ Property / author @@
+Damiaan Lemmens
@@ Property / author: Damiaan Lemmens / rank @@
+Normal rank
@@ Property / author @@
+Jacques Tempère
@@ Property / author: Jacques Tempère / rank @@
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+.1175
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+A Jump-Diffusion Model for Option Pricing
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+Option pricing when underlying stock returns are discontinuous
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@@ links / mardi / name / links / mardi / name @@
+Publication:614589