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Approximate option pricing under a two-factor Heston-Kou stochastic volatility model

Youssef El-Khatib, Zororo S. Makumbe, Josep Vives
Year of publication:
2024
Authors: El-Khatib, Youssef ; Makumbe, Zororo S. ; Vives, Josep
Subject: Heston-Kou model | Multi-factor models | Option price decomposition | Stochastic volatility | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model
freely available
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