Option pricing under stochastic volatility model with jumps in both the stock price and the variance processes (Q2940221)
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scientific article; zbMATH DE number 6390930
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| English | Option pricing under stochastic volatility model with jumps in both the stock price and the variance processes |
scientific article; zbMATH DE number 6390930 |
Statements
OPTION PRICING UNDER STOCHASTIC VOLATILITY MODEL WITH JUMPS IN BOTH THE STOCK PRICE AND THE VARIANCE PROCESSES (English)
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26 January 2015
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stochastic volatility model
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jump-diffusion
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stochastic differential equation
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risk-neutral option pricing
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characteristic function
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0.7907158732414246
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0.763163685798645
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0.761732816696167
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