A stochastic-local volatility model with Lévy jumps for pricing derivatives (Q6160626)

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scientific article; zbMATH DE number 7701109
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A stochastic-local volatility model with Lévy jumps for pricing derivatives
scientific article; zbMATH DE number 7701109

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    A stochastic-local volatility model with Lévy jumps for pricing derivatives (English)
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    26 June 2023
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    elasticity of variance
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    stochastic volatility
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    Lévy process
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    derivatives pricing
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    partial integro-differential equation
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