A stochastic-local volatility model with Le'vy jumps for pricing derivatives.

Hyun-Gyoon Kim Jeong-Hoon Kim

Published in: Appl. Math. Comput. (2023)

Keyphrases

stochastic model
management system
statistical model
formal model
neural network
probabilistic model
higher order
experimental data
high level
probability distribution
markov chain
parameter estimation
computational model
stochastic nature