Citations (11)
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Guohe Deng & Shuai Liu. (2024) Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate. International Journal of Computer Mathematics 101:3, pages 331-356.
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Sumei Zhang & Jianke Zhang. (2020) Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate. International Journal of Computer Mathematics 97:3, pages 546-563.
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Jan Pospíšil & Vladimír Švígler. (2019) Isogeometric analysis in option pricing. International Journal of Computer Mathematics 96:11, pages 2177-2200.
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Youfa Sun, Caiyan Liu & Shimin Guo. (2017) Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude. International Journal of Computer Mathematics 94:5, pages 989-1014.
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Articles from other publishers (7)
Ke Wang & Xunxiang Guo. (2023) Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility. Computational Economics 63:4, pages 1543-1573.
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Huojun Wu, Zhaoli Jia, Shuquan Yang & Ce Liu. (2021) PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE. Probability in the Engineering and Informational Sciences 36:2, pages 564-580.
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AZIZ ISSAKA. (2020) VALUATION, HEDGING, AND BOUNDS OF SWAPS UNDER MULTI-FACTOR BNS-TYPE STOCHASTIC VOLATILITY MODELS. Annals of Financial Economics 15:02, pages 2050007.
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Yanhong Zhong & Guohe Deng. (2019) Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate. Complexity 2019, pages 1-13.
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Chaoqun Ma, Shengjie Yue & Yishuai Ren. (2018) Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility. Discrete Dynamics in Nature and Society 2018, pages 1-16.
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Sumei Zhang & Yudong Sun. (2017) Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps. Journal of Computational and Applied Mathematics 325, pages 34-41.
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Youfa Sun & Shimin Guo. (2015) Stochastic Volatility Double Jump-Diffusions Model: The Importance of Distribution Type of Jump Amplitude. SSRN Electronic Journal.
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