An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066): Difference between revisions
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| Property / author: Akihiko Takahashi / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / zbMATH DE Number: 6479569 / rank | |||
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| Property / zbMATH Keywords | |||
basket option | |||
| Property / zbMATH Keywords: basket option / rank | |||
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jump diffusion model | |||
| Property / zbMATH Keywords: jump diffusion model / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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local volatility | |||
| Property / zbMATH Keywords: local volatility / rank | |||
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asymptotic expansion | |||
| Property / zbMATH Keywords: asymptotic expansion / rank | |||
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approximation formula | |||
| Property / zbMATH Keywords: approximation formula / rank | |||
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Revision as of 22:48, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets |
scientific article |
Statements
An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (English)
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9 September 2015
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basket option
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jump diffusion model
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stochastic volatility
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local volatility
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asymptotic expansion
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approximation formula
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