An Effective Algorithm for Pricing Option with Mixed-Exponential Jump and Double Stochastic Volatility
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-20738-9_155
Reference12 articles.
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2. Christoffersen, P., Heston, S., Jacobs, K.: The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well. Manage. Sci. 55(12), 1914–1932 (2009)
3. Yi, S.Y., Lee, K.: Numerical study for European option pricing equations with non-Lévy jumps. Appl. Anal. 100(7), 1454–1470 (2021)
4. Kumar, A., Kumar, B.V.R.: A RBF based finite difference method for option pricing under regime-switching jump-diffusion model. Int. J. Comput. Methods Eng. Sci. Mech. 20(5), 451–459 (2019)
5. Yousuf, M.: Numerical solution of systems of partial integral differential equations with application to pricing options. Numer. Methods Partial Differ. Equ. Int. J. 34(3), 1033–1052 (2018)
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