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Volatilität
Transition density
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transition density
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Modeling tail dependence using stochastic volatility model
Kim, See-Woo
;
Ma, Yong-Ki
;
Necula, Ciprian
- In:
Computational economics
62
(
2023
)
1
,
pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
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Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
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A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning
;
Yang, Xuewei
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
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