Shot-noise cojumps : exact simulation and option pricing
Yan Qu, Angelos Dassios and Hongbiao Zhao
| Year of publication: |
2023
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|---|---|
| Authors: | Qu, Yan ; Dassios, Angelos ; Zhao, Hongbiao |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 74.2023, 3, p. 647-665
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| Subject: | cojumps | contemporaneous jumps | Exact simulation | jump-diffusion models | Monte Carlo simulation | option pricing | shot-noise cojumps | shot-noise process | stochastic volatility models | systemic risk | Simulation | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2022.2077660 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014331928