Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Year of publication: |
2023
|
---|---|
Authors: | Zeng, Pingping ; Xu, Ziqing ; Jiang, Pingping ; Kwok, Yue-Kuen |
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 |
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