Analysis and simulation of stock price in a stochastic volatility model with jumps

DOI10.13413/J.CNKI.JDXBLXB.2016.02.18MaRDI QIDQ2990565zbMATH OpenFDO

Authors Guilan Cao, Yuan Zhou

Publication date 10 August 2016

zbMATH Keywords

CIR processstochastic volatilitycompound Poisson processMonte Carlo exact simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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