FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility.
Yinhui ZhongQunfang BaoShenghong LiPublished in: Appl. Math. Comput. (2015)
Keyphrases
- diffusion model
- option pricing
- financial markets
- stock price
- portfolio selection
- black scholes model
- anisotropic diffusion
- information diffusion
- double exponential
- diffusion models
- stock market
- worst case
- diffusion tensor
- diffusion process
- markov chain
- passive aggressive
- exchange rate
- non stationary
- decision making
- historical data
- risk management
- bit rate
- financial crisis