A jump diffusion model with fast mean-reverting stochastic volatility for pricing vulnerable options

DOI10.1155/2023/2746415MaRDI QIDQ6607546zbMATH OpenFDO

Authors Joy K. Nthiwa, Ananda O. Kube, Cyprian O. Omari

Publication date 18 September 2024

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• Dynamics of a harvested predator-prey model with predator-taxis
• Impulsive expressions in stochastic simulation algorithms
• Non-constant steady states and Hopf bifurcation of a species interaction model
• Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities
• Volatility is rough

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