Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
DOI10.1140/epjb/e2010-00109-3zbMath1202.91321arXiv1011.1175OpenAlexW2080014027MaRDI QIDQ614589
L. Z. J. Liang, Jacques Tempère, Damiaan Lemmens
Publication date: 4 January 2011
Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.1175
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Fokker-Planck equations (35Q84)
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