Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930): Difference between revisions

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Latest revision as of 12:46, 11 July 2024

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Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
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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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