Option pricing under jump-diffusion models with mean-reverting bivariate jumps (Q1667167): Difference between revisions
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Revision as of 04:13, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under jump-diffusion models with mean-reverting bivariate jumps |
scientific article |
Statements
Option pricing under jump-diffusion models with mean-reverting bivariate jumps (English)
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27 August 2018
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options pricing
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jump-diffusion models
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mean-reverting
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bivariate jumps
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discrete Ornstein-Uhlenbeck process
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implied volatility smiles
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