haku: @author Kuznetsov, A. / yhteensä: 11
viite: 5 / 11
| Tekijä: | Albanese, C. Kuznetsov, A. |
| Otsikko: | Unifying volatility models |
| Lehti: | Risk
2004 : MAR, VOL. 17:3, p. 94-98 |
| Asiasana: | Stock markets Volatility Options Pricing Models |
| Kieli: | eng |
| Tiivistelmä: | This article introduces a method of building analytically tractable option pricing models that combine state-dependent volatility, stochastic volatility and jumps. The eigenfunction expansion method is used to add jumps and stochastic volatility to hypergeometric Brownian motions. |
SCIMA