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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?
Christian-Oliver Ewald
Yihan Zou
Published in:
Eur. J. Oper. Res. (2021)
Keyphrases
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diffusion model
linear quadratic
markov chain
financial markets
image data
anisotropic diffusion
information diffusion
dynamical systems
closed loop
optimal control
diffusion process
multiscale
state space
stock price