Unifying pricing formula for several stochastic volatility models with jumps-Reference-Cited by-同舟云学术

Unifying pricing formula for several stochastic volatility models with jumps

Published:2017 Issue: Volume: Page:
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Baustian Falko¹,Mrázek Milan²,Pospíšil Jan²^ORCID,Sobotka Tomáš²

Affiliation:

1. Department of Mathematics; University of Rostock; Ulmenstraße 69 Rostock 18057 Germany

2. NTIS - New Technologies for the Information Society, Faculty of Applied Sciences; University of West Bohemia Univerzitní8; 306 14 Plzeň Czech Republic

Funder

MSMT MOBILITY

DAAD PPP

Grantová Agentura České Republiky

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference43 articles.

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2. The pricing of options on assets with stochastic volatilities;Hull;Journal of Finance,1987

3. Stock price distributions with stochastic volatility: an analytic approach;Stein;Review of Financial Studies,1991

4. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;Review of Financial Studies,1993

5. Pricing under rough volatility;Bayer;Quantitative Finance,2016

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