Option pricing under jump-diffusion models with mean-reverting bivariate jumps (Q1667167)
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scientific article; zbMATH DE number 6927803
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing under jump-diffusion models with mean-reverting bivariate jumps |
scientific article; zbMATH DE number 6927803 |
Statements
Option pricing under jump-diffusion models with mean-reverting bivariate jumps (English)
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27 August 2018
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options pricing
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jump-diffusion models
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mean-reverting
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bivariate jumps
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discrete Ornstein-Uhlenbeck process
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implied volatility smiles
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0.8484306335449219
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0.8390195965766907
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0.8250778317451477
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0.8200798630714417
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