Option pricing under jump-diffusion models with mean-reverting bivariate jumps (Q1667167): Difference between revisions
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| Property / cites work: The surprise element: Jumps in interest rates. / rank | |||
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| Property / cites work: Analytical Valuation of American Options on Jump‐Diffusion Processes / rank | |||
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| Property / cites work: A Jump-Diffusion Model for Option Pricing / rank | |||
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| Property / cites work: Option pricing when underlying stock returns are discontinuous / rank | |||
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| Property / cites work: Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect / rank | |||
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Latest revision as of 12:09, 16 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing under jump-diffusion models with mean-reverting bivariate jumps |
scientific article |
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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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