Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility (Q2673416): Difference between revisions

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+Q4219085
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+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A Jump-Diffusion Model for Option Pricing
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+Pricing vulnerable European options under Lévy process with stochastic volatility
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+Option pricing when underlying stock returns are discontinuous
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+Pricing vulnerable European options under a two-sided jump model via Laplace transforms
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+Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
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+An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
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+A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
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+Stochastic calculus for finance. II: Continuous-time models.
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+Pricing vulnerable options with stochastic volatility
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+Pricing vulnerable options under a stochastic volatility model
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