Computation of powered option prices under a general model for underlying asset dynamics

DOI10.1016/J.CAM.2021.113999MaRDI QIDQ2074891zbMATH OpenOpenAlexFDO

Authors Jerim Kim, Bara Kim, Jeongsim Kim, Sungji Lee

Publication date 11 February 2022

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2021.113999

zbMATH Keywords

regime-switching modelHeston's stochastic volatility modelpowered optionsgeometric Lévy modelBlack-Scholes-Vasiček model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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Cited in

(1)

• scientific article; zbMATH DE number 7673130 (Why is no real title available?)

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