An approximation formula for basket option prices under local stochastic volatility with jumps: An application to commodity markets.
Kenichiro ShirayaAkihiko TakahashiPublished in: J. Comput. Appl. Math. (2016)
Keyphrases
- financial markets
- market data
- market equilibrium
- approximation schemes
- stage stochastic programs
- discrete random variables
- stock market
- market prices
- stock price
- bidding strategies
- spot market
- electricity markets
- option pricing
- garch model
- market participants
- lagrange interpolation
- flow network
- monte carlo
- pricing strategies
- online markets
- monte carlo sampling
- markov chain
- search costs
- market clearing
- budget constraints
- dynamic pricing
- financial time series
- black scholes model
- market conditions
- financial crisis
- competitive market
- long run
- payoff functions
- error bounds