An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066)
From MaRDI portal
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)
0 references
9 September 2015
0 references
basket option
0 references
jump diffusion model
0 references
stochastic volatility
0 references
local volatility
0 references
asymptotic expansion
0 references
approximation formula
0 references
