Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity
Somayeh Fallah, Farshid Mehrdoust
| Year of publication: |
2020
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|---|---|
| Authors: | Fallah, Somayeh ; Mehrdoust, Farshid |
| Published in: |
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada. - Madrid, ISSN 1133-3197, ZDB-ID 2508178-0. - Vol. 38.2020, 2, p. 109-120
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| Subject: | Option pricing | stochastic volatility | long memory | double exponential jump with stochastic intensity | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012616833