An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
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Publication:495066
DOI10.1016/j.cam.2015.06.027zbMath1320.91148OpenAlexW1603290232MaRDI QIDQ495066
Kenichiro Shiraya, Akihiko Takahashi
Publication date: 9 September 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.06.027
asymptotic expansionstochastic volatilityapproximation formulalocal volatilitybasket optionjump diffusion model
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Related Items (5)
Lower bound approximation of nonlinear basket option with jump-diffusion ⋮ Asymptotic Expansion Approach in Finance ⋮ A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance ⋮ Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS
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