LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS
Year of publication: |
2013
|
---|---|
Authors: | PAGLIARANI, STEFANO ; PASCUCCI, ANDREA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 16.2013, 08, p. 1350050-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Local stochastic volatility | Lévy process | analytical approximation | characteristic function | partial integro-differential equation | Fourier methods |
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