A self-exciting threshold jump-diffusion model for option valuation (Q343990)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A self-exciting threshold jump-diffusion model for option valuation |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A self-exciting threshold jump-diffusion model for option valuation |
scientific article |
Statements
A self-exciting threshold jump-diffusion model for option valuation (English)
0 references
21 November 2016
0 references
option valuation
0 references
self-exciting threshold model
0 references
generalized Esscher transform
0 references
piecewise linear partial differential equation
0 references
quadratic approximation
0 references
