The Annals of Applied Probability, Vol. 26, No. 2 (April 2016), pp. 794-817 (24 pages) We consider a financial model where the prices of risky assets are quoted by a representative market maker who ...
This is a preview. Log in through your library . Abstract An estimator is presented for the coefficients of the quadratic functional relationship. The estimator is shown to be asymptotically normally ...
We consider option pricing problems in the stochastic volatility jump diffusion model with correlated and contemporaneous jumps (SVCJ) in both the return and variance processes. The option value ...
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