Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

DOI10.1140/epjb/e2010-00109-3zbMath1202.91321arXiv1011.1175OpenAlexW2080014027MaRDI QIDQ614589

L. Z. J. Liang, Jacques Tempère, Damiaan Lemmens

Publication date: 4 January 2011

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.1175

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Fokker-Planck equations (35Q84)

Related Items (5)

Determining and benchmarking risk neutral distributions implied from option prices ⋮ Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Vasicek model with mixed-exponential jumps and its applications in finance and insurance ⋮ Computing survival probabilities based on stochastic differential models ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion

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