Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Perpetual Saah Andam, Joseph Ackora-Prah, Sure Mataramvura
| Year of publication: |
August 2017
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| Authors: | Andam, Perpetual Saah ; Ackora-Prah, Joseph ; Mataramvura, Sure |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 3, p. 633-656
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| Subject: | Stochastic Differential Equation | Fourier Transform | Compensated Poisson Jump | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2017.73033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011752419