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 tietueen numero: 253839
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