The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models
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Publication:3405450
DOI10.1007/978-3-642-04107-5_24zbMath1182.91198OpenAlexW81868131MaRDI QIDQ3405450
Anatoly Gormin, Yuri N. Kashtanov
Publication date: 15 February 2010
Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_24
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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