Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps

DOI10.1016/j.jedc.2021.104083zbMath1475.91364OpenAlexW3127080253MaRDI QIDQ2246642

Nian Yang, Xiangwei Wan

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104083

zbMATH Keywords

jumpstransition densityHermite expansionstochastic volatility modelsEuropean option price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Jump processes on discrete state spaces (60J74)

Related Items (1)

Maximum likelihood estimation of diffusions by continuous time Markov chain

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