Stochastic Volatility Models with Jumps
Part of the Springer Finance book series (FINANCE)
In Chap. 9, we considered pure diffusion stochastic volatility models. We extend these models by adding jumps and derive numerical solutions for different models such as Bates or Barndorff-Nielsen and Shephard.
KeywordsBilinear Form Stochastic Volatility Model Price Equation Equivalent Martingale Measure Poisson Random Measure
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