Yudong Sun, Huan Wang
Abstract
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Stochastic volatility models play an important role in finance modeling. In this work, we study the existence, uniqueness, continuity and some estimates of the solution to a kind of the Heston stochastic volatility model with jump.
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Stochastic volatility models play an important role in finance modeling. In this work, we study the existence, uniqueness, continuity and some estimates of the solution to a kind of the Heston stochastic volatility model with jump.
Key concepts: Heston model, Stochastic volatility, Uniqueness, Jump, SABR volatility model, Volatility (finance), Mathematics, Applied mathematics