Calibration of a Jump-Diffusion Process Using Optimal Control
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Publication:2897267
DOI10.1007/978-3-642-21943-6_12zbMath1242.91221OpenAlexW67869142MaRDI QIDQ2897267
Publication date: 10 July 2012
Published in: Numerical Analysis of Multiscale Computations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-21943-6_12
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- Financial Modelling with Jump Processes
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- Geometric Numerical Integration
- A viscoelastic model with non-local damping application to the human lungs
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