Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models.
Josef DanekJan PospisilPublished in: Int. J. Comput. Math. (2020)
Keyphrases
- option pricing
- stock price
- diffusion models
- stock market
- diffusion model
- black scholes
- information diffusion
- non stationary
- stock exchange
- decision analysis
- historical data
- financial markets
- black scholes model
- exchange rate
- real option
- social networks
- information flow
- financial data
- news articles
- financial time series
- sensitivity analysis
- steady state
- natural images
- data mining