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Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model |
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| Authors: | Youfa Sun |
| Affiliation: | 1. Institute of Financial Engineering, School of Management, Guangdong University of Technology, Guangzhou 510520, Chinayoufrichsun@gmail.com |
| Abstract: | |
| Keywords: | option pricing Heston model COS method jump risks dynamic hedging |