A stochastic-local volatility model with Lévy jumps for pricing derivatives
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Publication:6160626
DOI10.1016/J.AMC.2023.128034MaRDI QIDQ6160626FDOQ6160626
Authors: Hyun-Gyoon Kim, Jeong-Hoon Kim 
Publication date: 26 June 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
stochastic volatilitypartial integro-differential equationderivatives pricingLévy processelasticity of variance
Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx) Markov processes (60Jxx)
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