Christian Ewald, Yihan Zou. Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?. European Journal of Operational Research, 294(2):801-815, 2021. [doi]
@article{EwaldZ21,
title = {Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?},
author = {Christian Ewald and Yihan Zou},
year = {2021},
doi = {10.1016/j.ejor.2021.02.004},
url = {https://doi.org/10.1016/j.ejor.2021.02.004},
researchr = {https://researchr.org/publication/EwaldZ21},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {294},
number = {2},
pages = {801-815},
}