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We consider a stochastic volatility model with L´evy jumps for a log-return pro-cess Z = (Zt)t≥0 of the form Z = U +X, where U = (Ut)t≥0 is a classical stochastic volatility process and X = (Xt)...
Forward equations for option prices in semimartingale models
option prices semimartingale models
2010/4/27
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discont...