Open AccessHedging Under the Heston Model with Jump-to-Default
Author(s) -
Peter Carr,
Wim Schoutens
Publication year - 2007
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1016109
Subject(s) - heston model , jump , jump diffusion , economics , stochastic volatility , econometrics , financial economics , actuarial science , sabr volatility model , volatility (finance) , physics , quantum mechanics
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