Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps

DOI10.1111/mafi.12387MaRDI QIDQ6146678

Yue Kuen Kwok, Pingping Zeng, Pingping Jiang, Unnamed Author

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

interpolationstochastic volatilityexact simulationLévy jumpspath-dependent derivativesanalytical solvabilityHilbert transform method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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