Stochastic volatility double jumps wujek700992532

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In finance, volatilitysymbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns.

Stochastic volatility double jumps.

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive , mostly significant impact on future volatility.

Normal tempered stable process is introduced into time changing volatility Construct stochastic volatility tempered stable models to capture leptokurtosis , .

Abstract: In this paper, with, we study a partial differential equationPDE) framework for option pricing where the underlying factors exhibit stochastic correlation

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