Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models.

Kenichiro Shiraya Akihiko Takahashi

Published in: Math. Oper. Res. (2019)

Keyphrases

diffusion models
option pricing
stock price
diffusion model
information diffusion
financial markets
black scholes model
double exponential
social networks
markov chain
stock market
dynamic programming
social media
computational complexity
viral marketing
objective function
multiscale
garch model