Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models.
Josef DanekJan PospisilPublished in: CoRR (2020)
Keyphrases
- option pricing
- stock price
- diffusion models
- black scholes
- diffusion model
- stock market
- financial markets
- social networks
- stock exchange
- historical data
- information diffusion
- non stationary
- exchange rate
- black scholes model
- news articles
- numerical methods
- decision analysis
- financial data
- magnetic resonance images
- financial time series
- viral marketing
- sensitivity analysis
- markov chain
- dynamic programming
- objective function