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

El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep

doi:10.1016/j.matcom.2024.12.010

Mathematics and Computers in Simulation

2025

DOI: 10.1016/j.matcom.2024.12.010

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

Youssef El-Khatib,

Zororo S. Makumbe,

Josep Vives

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

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References 10 publications

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