Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude (Q4976303)
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scientific article; zbMATH DE number 6754512
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| English | Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude |
scientific article; zbMATH DE number 6754512 |
Statements
Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude (English)
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28 July 2017
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Heston
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jump-diffusion
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exponential distribution
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volatility smile/smirk
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volatility sadness
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Fourier cosine method
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0.7803804874420166
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0.7630800008773804
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0.7568133473396301
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0.7469439506530762
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0.7462414503097534
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