一加就喷出
发表于 2025-3-28 17:26:18
https://doi.org/10.1007/978-0-387-09766-4 distributions. Here, we consider three representative jump models that are distinguished from each other solely by the distributions of jump sizes, they are the simple deterministic jumps, the log-normal jumps and the Pareto jumps. Additionally, we will show that Kou’s jump model (2002) with weight
你正派
发表于 2025-3-28 21:17:29
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巫婆
发表于 2025-3-28 22:58:54
https://doi.org/10.1007/978-0-387-09766-4volatility LMMs are discussed. All of these five models apply characteristic functions or moment-generating functions for pricing caps and swaptions to different extent. While CFs do not find significant applications in the models of Andersen and Brotherton-Ratcliffe (2001), and Piterbarg (2003), th
Transfusion
发表于 2025-3-29 03:44:55
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TRUST
发表于 2025-3-29 09:28:01
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拾落穗
发表于 2025-3-29 11:35:04
Stochastic Volatility Models,rate modeling are two ideal candidate processes for stochastic volatilities. Heston (1993) specified stochastic variances with a mean-reverting square root process and derived a pioneering pricing formula for options by using CFs. Stochastic volatility model with a mean-reverting Ornstein-Uhlenbeck
MAZE
发表于 2025-3-29 16:31:09
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