Power‐type derivatives for rough volatility with jumps-Reference-Cited by-同舟云学术

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Power‐type derivatives for rough volatility with jumps

Published:2022-05-13 Issue:7 Volume:42 Page:1369-1406
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Journal of Futures Markets

Author:

Wang Liang¹,Xia Weixuan²^ORCID

Affiliation:

1. Department of Mathematics and Statistics Boston University Graduate School of Arts and Sciences Boston Massachusetts USA

2. Department of Finance Boston University Questrom School of Business Boston MA USA

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22337

Reference63 articles.

1. Regime switching rough Heston model

2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

3. Spanning and derivative-security valuation

4. The law of the Euler scheme for stochastic differential equations

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1. Forward Starting Option Pricing under Double Fractional Stochastic Volatilities and Jumps;Fractal and Fractional;2024-05-08

2. Crypto Inverse-Power Options and Fractional Stochastic Volatility;SSRN Electronic Journal;2024

3. Option Pricing with Fractional Stochastic Volatilities and Jumps;Fractal and Fractional;2023-09-11

4. Stochastic optimization of a mixed moving average process for controlling non-Markovian streamflow environments;Applied Mathematical Modelling;2023-04

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