Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

European Physical Journal B

Volumn 75, Issue 3, 2010, Pages 335-342

  Liang, L Z J ^a   Lemmens, D ^a   Tempere, J ^a,b  

^a UNIVERSITY OF ANTWERP   (Belgium)

^b HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BLACK-SCHOLES MODEL; FOKKER PLANCK; JUMP DIFFUSION; JUMP DIFFUSION MODELS; JUMP PROCESS; LOG-NORMAL DISTRIBUTION; MONTE CARLO SIMULATION; NON-GAUSSIAN FLUCTUATIONS; OPTION PRICE; PATH INTEGRAL; PATH-INTEGRAL PROPAGATOR; PRICING FORMULA; STOCHASTIC VOLATILITY; STOCHASTIC VOLATILITY MODEL;

COMPUTER SIMULATION; COSTS; DIFFERENTIAL EQUATIONS; DIFFUSION; FOKKER PLANCK EQUATION; MARKOV PROCESSES; MONTE CARLO METHODS; STOCHASTIC SYSTEMS;

STOCHASTIC MODELS;

EID: 77954564277     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2010-00109-3     Document Type: Article

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