A jump diffusion model with fast mean-reverting stochastic volatility for pricing vulnerable options
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Publication:6607546
DOI10.1155/2023/2746415zbMATH Open1545.91311MaRDI QIDQ6607546FDOQ6607546
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)
Cites Work
- The pricing of options and corporate liabilities
- Stochastic differential equations. An introduction with applications.
- Volatility is rough
- 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
- Dynamics of a harvested predator-prey model with predator-taxis
- Impulsive expressions in stochastic simulation algorithms
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