VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (Q5056604)
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scientific article; zbMATH DE number 7629442
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| English | VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY |
scientific article; zbMATH DE number 7629442 |
Statements
VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (English)
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8 December 2022
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double exponential jump
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Fourier-cosine expansion
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Geske-Johnson scheme
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inverse fast Fourier transform
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stochastic volatility
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vulnerable American options
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0.8530337810516357
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0.8358557224273682
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0.8357940316200256
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0.8265331387519836
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