On randomization of affine diffusion processes with application to pricing of options on VIX and S\&P 500 (Q6917263)
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scientific article; zbMATH DE number 8104913
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| English | On randomization of affine diffusion processes with application to pricing of options on VIX and S\&P 500 |
scientific article; zbMATH DE number 8104913 |
Statements
On randomization of affine diffusion processes with application to pricing of options on VIX and S\&P 500 (English)
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14 October 2025
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randomized affine-diffusion
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rand method
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stochastic parameters
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Heston
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bates
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VIX
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S\&P 500
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short maturity options
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stochastic collocation
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quantization
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