scientific article; zbMATH DE number 7235363

MaRDI QIDQ5115317zbMATH OpenFDO

Authors Jiawen He, Zhu'e Wei

Publication date 12 August 2020

zbMATH Keywords

jump-diffusion modelnon-affine stochastic volatilityouter performance optionFourier inversion transform

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on discrete state spaces (60J74)

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