具有局部波动性的跳跃扩散模型中短期限亚洲期权的渐近线

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-03-21 DOI:10.1080/14697688.2024.2326114

Dan Pirjol, Lingjiong Zhu

引用次数: 0

摘要

我们对具有局部波动成分的跳跃-扩散模型中亚洲期权的短期期限渐近线进行了研究，其中跳跃被模拟为复合泊松过程。该模...

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Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

We present a study of the short maturity asymptotics for Asian options in a jump-diffusion model with a local volatility component, where the jumps are modeled as a compound Poisson process. The an...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.