A stochastic-local volatility model with Lévy jumps for pricing derivatives (Q6160626)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A stochastic-local volatility model with Lévy jumps for pricing derivatives |
scientific article; zbMATH DE number 7701109
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A stochastic-local volatility model with Lévy jumps for pricing derivatives |
scientific article; zbMATH DE number 7701109 |
Statements
A stochastic-local volatility model with Lévy jumps for pricing derivatives (English)
0 references
26 June 2023
0 references
elasticity of variance
0 references
stochastic volatility
0 references
Lévy process
0 references
derivatives pricing
0 references
partial integro-differential equation
0 references
0 references
0 references
