Exotic derivatives under stochastic volatility models with jumps (Q5198570)
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scientific article; zbMATH DE number 5936958
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| English | Exotic derivatives under stochastic volatility models with jumps |
scientific article; zbMATH DE number 5936958 |
Statements
Exotic Derivatives under Stochastic Volatility Models with Jumps (English)
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8 August 2011
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double barrier option
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volatility surface
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volatility derivatives
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forward starting options
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stochastic volatility models with jumps
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fluid embedding
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complex matrix Wiener-Hopf factorization
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0.7781378030776978
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0.7668496370315552
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0.7659887075424194
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0.765285313129425
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