Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930): Difference between revisions
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Revision as of 22:33, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect |
scientific article |
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Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (English)
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4 March 2016
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variance-optimal hedging
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COS method
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incomplete market
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stochastic volatility
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leverage effect
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