Pricing Asian options in a stochastic volatility model with jumps (Q529935): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60J75 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6728496 / rank | |||
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arithmetic Asian option | |||
| Property / zbMATH Keywords: arithmetic Asian option / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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Lévy processes | |||
| Property / zbMATH Keywords: Lévy processes / rank | |||
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Barndorff-Nielsen and Shephard model | |||
| Property / zbMATH Keywords: Barndorff-Nielsen and Shephard model / rank | |||
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partial integro-differential equation | |||
| Property / zbMATH Keywords: partial integro-differential equation / rank | |||
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Revision as of 07:34, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Asian options in a stochastic volatility model with jumps |
scientific article |
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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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