Decomposition formula for jump diffusion models. (English) Zbl 1419.91652

Merino, R.; Pospíšil, J.; Sobotka, T.; Vives, J.

Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850052, 36 p. (2018).

MSC:

91G60	Numerical methods (including Monte Carlo methods)
65D15	Algorithms for approximation of functions
91G20	Derivative securities (option pricing, hedging, etc.)
60J75	Jump processes (MSC2010)

Keywords:

option pricing; stochastic volatility models; jump diffusion models; implied volatility

Citations:

Zbl 1259.91081; Zbl 1384.35131

Software:

Mathematica

References:

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