Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
Year of publication: |
2024
|
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Authors: | El-Khatib, Youssef ; Makumbe, Zororo S. ; Vives, Josep |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 21.2024, 1, Art.-No. 3, p. 1-28
|
Subject: | Heston-Kou model | Multi-factor models | Option price decomposition | Stochastic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Experiment |
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