Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123002330> ?p ?o ?g. }
Showing items 1 to 93 of
93
with 100 items per page.
- W3123002330 abstract "Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations." @default.
- W3123002330 created "2021-02-01" @default.
- W3123002330 creator A5002156742 @default.
- W3123002330 creator A5027069941 @default.
- W3123002330 creator A5036949991 @default.
- W3123002330 date "2010-11-01" @default.
- W3123002330 modified "2023-09-27" @default.
- W3123002330 title "Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model" @default.
- W3123002330 hasPublicationYear "2010" @default.
- W3123002330 type Work @default.
- W3123002330 sameAs 3123002330 @default.
- W3123002330 citedByCount "0" @default.
- W3123002330 crossrefType "posted-content" @default.
- W3123002330 hasAuthorship W3123002330A5002156742 @default.
- W3123002330 hasAuthorship W3123002330A5027069941 @default.
- W3123002330 hasAuthorship W3123002330A5036949991 @default.
- W3123002330 hasConcept C105795698 @default.
- W3123002330 hasConcept C121332964 @default.
- W3123002330 hasConcept C121864883 @default.
- W3123002330 hasConcept C134306372 @default.
- W3123002330 hasConcept C149782125 @default.
- W3123002330 hasConcept C151376022 @default.
- W3123002330 hasConcept C151620405 @default.
- W3123002330 hasConcept C162324750 @default.
- W3123002330 hasConcept C163716315 @default.
- W3123002330 hasConcept C175025494 @default.
- W3123002330 hasConcept C194483076 @default.
- W3123002330 hasConcept C195906000 @default.
- W3123002330 hasConcept C201608381 @default.
- W3123002330 hasConcept C2779664328 @default.
- W3123002330 hasConcept C2780695682 @default.
- W3123002330 hasConcept C28826006 @default.
- W3123002330 hasConcept C33923547 @default.
- W3123002330 hasConcept C51955184 @default.
- W3123002330 hasConcept C556758197 @default.
- W3123002330 hasConcept C62520636 @default.
- W3123002330 hasConcept C69123182 @default.
- W3123002330 hasConcept C78045399 @default.
- W3123002330 hasConcept C85393063 @default.
- W3123002330 hasConcept C91602232 @default.
- W3123002330 hasConcept C93779851 @default.
- W3123002330 hasConceptScore W3123002330C105795698 @default.
- W3123002330 hasConceptScore W3123002330C121332964 @default.
- W3123002330 hasConceptScore W3123002330C121864883 @default.
- W3123002330 hasConceptScore W3123002330C134306372 @default.
- W3123002330 hasConceptScore W3123002330C149782125 @default.
- W3123002330 hasConceptScore W3123002330C151376022 @default.
- W3123002330 hasConceptScore W3123002330C151620405 @default.
- W3123002330 hasConceptScore W3123002330C162324750 @default.
- W3123002330 hasConceptScore W3123002330C163716315 @default.
- W3123002330 hasConceptScore W3123002330C175025494 @default.
- W3123002330 hasConceptScore W3123002330C194483076 @default.
- W3123002330 hasConceptScore W3123002330C195906000 @default.
- W3123002330 hasConceptScore W3123002330C201608381 @default.
- W3123002330 hasConceptScore W3123002330C2779664328 @default.
- W3123002330 hasConceptScore W3123002330C2780695682 @default.
- W3123002330 hasConceptScore W3123002330C28826006 @default.
- W3123002330 hasConceptScore W3123002330C33923547 @default.
- W3123002330 hasConceptScore W3123002330C51955184 @default.
- W3123002330 hasConceptScore W3123002330C556758197 @default.
- W3123002330 hasConceptScore W3123002330C62520636 @default.
- W3123002330 hasConceptScore W3123002330C69123182 @default.
- W3123002330 hasConceptScore W3123002330C78045399 @default.
- W3123002330 hasConceptScore W3123002330C85393063 @default.
- W3123002330 hasConceptScore W3123002330C91602232 @default.
- W3123002330 hasConceptScore W3123002330C93779851 @default.
- W3123002330 hasLocation W31230023301 @default.
- W3123002330 hasOpenAccess W3123002330 @default.
- W3123002330 hasPrimaryLocation W31230023301 @default.
- W3123002330 hasRelatedWork W1497844789 @default.
- W3123002330 hasRelatedWork W1522378890 @default.
- W3123002330 hasRelatedWork W1539670927 @default.
- W3123002330 hasRelatedWork W1557150378 @default.
- W3123002330 hasRelatedWork W1909289471 @default.
- W3123002330 hasRelatedWork W1993246438 @default.
- W3123002330 hasRelatedWork W2051937445 @default.
- W3123002330 hasRelatedWork W2080014027 @default.
- W3123002330 hasRelatedWork W2259939690 @default.
- W3123002330 hasRelatedWork W2274906318 @default.
- W3123002330 hasRelatedWork W2389154586 @default.
- W3123002330 hasRelatedWork W2559828508 @default.
- W3123002330 hasRelatedWork W2790353037 @default.
- W3123002330 hasRelatedWork W2950178124 @default.
- W3123002330 hasRelatedWork W3121791710 @default.
- W3123002330 hasRelatedWork W3123565428 @default.
- W3123002330 hasRelatedWork W3123624767 @default.
- W3123002330 hasRelatedWork W3124397939 @default.
- W3123002330 hasRelatedWork W3175534124 @default.
- W3123002330 hasRelatedWork W3122607830 @default.
- W3123002330 isParatext "false" @default.
- W3123002330 isRetracted "false" @default.
- W3123002330 magId "3123002330" @default.
- W3123002330 workType "article" @default.