Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Pingping Zeng, Ziqing Xu, Pingping Jiang, Yue Kuen Kwok
| Year of publication: |
2023
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|---|---|
| Authors: | Zeng, Pingping ; Xu, Ziqing ; Jiang, Pingping ; Kwok, Yue-Kuen |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 3, p. 842-890
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| Subject: | analytical solvability | exact simulation | Hilbert transform method | interpolation | Lévy jumps | path-dependent derivatives | stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Simulation | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12387 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329916