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The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes.

Lourdes Gómez-ValleJulia Martínez-Rodríguez
Published in: J. Comput. Appl. Math. (2019)
Keyphrases
  • diffusion processes
  • probabilistic model
  • diffusion process
  • risk neutral
  • linear programming
  • stochastic process