A stochastic-local volatility model with Lévy jumps for pricing derivatives (Q6160626)
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scientific article; zbMATH DE number 7701109
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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