Open AccessPolynomial Jump-Diffusion Models
Author(s) -
Damir Filipović,
Martin Larsson
Publication year - 2020
Publication title -
stochastic systems
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1946-5238
DOI - 10.1287/stsy.2019.0052
Subject(s) - semimartingale , jump diffusion , polynomial , context (archaeology) , jump , affine transformation , mathematics , diffusion , valuation of options , stochastic volatility , mathematical economics , pure mathematics , econometrics , mathematical analysis , volatility (finance) , paleontology , physics , quantum mechanics , biology , thermodynamics
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