Publication:3180864

DOI10.3969/j.issn.1005-3026.2016.05.029zbMath1363.91103MaRDI QIDQ3180864

Weiping Zhang, Xin-Tian Zhuang, Xiao-Li Gong

Publication date: 6 January 2017

zbMATH Keywords

jump diffusion; jump intensity; feedback effect; mixed GARCH model; volatility diffusion

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)