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Mathematics and Computers in Simulation
Article . 2025 . Peer-reviewed
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Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models

descriptionPublicationkeyboard_double_arrow_right Article 01 May 2025 English Publisher:Elsevier BVJournal:Mathematics and Computers in Simulation, volume 231, pages 276-293 (issn: 0378-4754, Copyright policy )
Authors: Youssef El-Khatib; Zororo S. Makumbe; Josep Vives;

doi: 10.1016/j.matcom.2024.12.010

Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models

No summary information available
Keywords

option price decomposition, Lévy processes, Analysis of algorithms and problem complexity, Graph theory (including graph drawing) in computer science, variance gamma, Computer graphics; computational geometry (digital and algorithmic aspects), tempered stable, stochastic volatility

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
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