| Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude | |
| Sun, Youfa; Liu, Caiyan; Guo, Shimin | |
| 刊名 | INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS
 |
| 2017 | |
| 卷号 | 94页码:989-1014 |
| 关键词 | Fourier cosine method volatility smile/smirk volatility sadness exponential distribution jump-diffusion Heston |
| ISSN号 | 0020-7160 |
| URL标识 | 查看原文 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/2948249 |
| 专题 | 西安交通大学 |
| 推荐引用方式 GB/T 7714 | Sun, Youfa,Liu, Caiyan,Guo, Shimin. Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude[J]. INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS,2017,94:989-1014. |
| APA | Sun, Youfa,Liu, Caiyan,&Guo, Shimin.(2017).Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude.INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS,94,989-1014. |
| MLA | Sun, Youfa,et al."Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude".INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS 94(2017):989-1014. |
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