Open AccessPricing Bitcoin under Double Exponential Jump-Diffusion Model with Asymmetric Jumps Stochastic Volatility
Author(s) -
Ndeye Fatou Sene,
Mamadou Abdoulaye Konté,
Jane Aduda
Publication year - 2021
Publication title -
journal of mathematical finance
Language(s) - English
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2021.112018
Subject(s) - stochastic volatility , volatility (finance) , jump diffusion , exponential function , econometrics , jump , sabr volatility model , economics , double exponential function , markov chain monte carlo , volatility smile , markov chain , local volatility , implied volatility , valuation of options , monte carlo method , mathematics , physics , statistics , mathematical analysis , quantum mechanics
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