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Property / DOI: 10.1016/j.amc.2013.12.004 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.amc.2013.12.004 / rank
 
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Property / OpenAlex ID: W2004829202 / rank
 
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Latest revision as of 20:36, 9 December 2024

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Pricing Asian options in a stochastic volatility model with jumps
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    Pricing Asian options in a stochastic volatility model with jumps (English)
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    9 June 2017
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    arithmetic Asian option
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    stochastic volatility
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    Lévy processes
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    Barndorff-Nielsen and Shephard model
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    partial integro-differential equation
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