Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 60J70 / rank | |||
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| Property / zbMATH DE Number: 6363021 / rank | |||
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normal tempered stable | |||
| Property / zbMATH Keywords: normal tempered stable / rank | |||
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Lévy model | |||
| Property / zbMATH Keywords: Lévy model / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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hedging | |||
| Property / zbMATH Keywords: hedging / rank | |||
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stochastic volatility | |||
| Property / zbMATH Keywords: stochastic volatility / rank | |||
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Revision as of 13:52, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility |
scientific article |
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Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (English)
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31 October 2014
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normal tempered stable
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Lévy model
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option pricing
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hedging
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stochastic volatility
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