Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model (Q2804505)
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scientific article; zbMATH DE number 6575434
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| English | Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model |
scientific article; zbMATH DE number 6575434 |
Statements
Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model (English)
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29 April 2016
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option pricing
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Heston model
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COS method
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jump risks
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dynamic hedging
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0.8271063566207886
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0.8200678825378418
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0.8151289224624634
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0.7961477041244507
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0.7812781929969788
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