A subdiffusive stochastic volatility jump model
Year of publication: |
2023
|
---|---|
Authors: | Dupret, Jean-Loup ; Hainaut, Donatien |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 6, p. 979-1002
|
Subject: | Option pricing | Fractional Fokker–Planck equations | Illiquidity modeling | Stochastic volatility jump model | Subdiffusion | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | CAPM |
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