Option pricing when asset returns jump interruptedly (Q6570855)
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scientific article; zbMATH DE number 7879685
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Option pricing when asset returns jump interruptedly |
scientific article; zbMATH DE number 7879685 |
Statements
Option pricing when asset returns jump interruptedly (English)
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10 July 2024
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heavy tail
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regime switching
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jump-diffusion model
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interrupted Poisson process
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analytical solution
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option pricing
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volatility smile
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