A hybrid stochastic volatility model in a Lévy market
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DOI: 10.1016/j.iref.2023.01.005
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Cited by:
- Almeida, Thiago Ramos, 2024. "Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility," Research in International Business and Finance, Elsevier, vol. 70(PA).
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Keywords
European options; Numerical simulations; Monte Carlo method; Stochastic volatility Black and Scholes Formula; Lévy processes;All these keywords.
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