Loading view.
Calendar of Events
M Mon
T Tue
W Wed
T Thu
F Fri
S Sat
S Sun
0 events,
0 events,
0 events,
0 events,
0 events,
0 events,
0 events,
0 events,
0 events,
0 events,
0 events,
1 event,
0 events,
0 events,
0 events,
0 events,
0 events,
0 events,
1 event,
-
Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models
Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models
Speaker: Prof. Josep Vives, Department of Economical, Financial and Actuarial Mathematics, University of Barcelona Abstract: Let the log returns of an asset X(t) = log(S(t)) be defined on a risk neutral filtered probability space (Ω, F, (F(t); t ∈ ), P) for some 0 < T < ∞. Assume that X(t) is a stochastic volatility […]
