A note on a new approach to both price and volatility jumps: an application to the portfolio model (Q5369467)
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scientific article; zbMATH DE number 6792332
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| English | A note on a new approach to both price and volatility jumps: an application to the portfolio model |
scientific article; zbMATH DE number 6792332 |
Statements
A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL (English)
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17 October 2017
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jump diffusion
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stochastic volatility
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partial differential equations
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Hamilton-Jacobi-Bellman equations
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viscosity solutions
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0.7764869928359985
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0.7610712647438049
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0.7553186416625977
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0.7531594634056091
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0.7484397292137146
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