Lévy processes driven by stochastic volatility

DOI10.1007/S10690-006-9029-2zbMath1283.91188OpenAlexW1984826727MaRDI QIDQ2372257

Kyriakos Chourdakis

Publication date: 25 July 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9029-2

zbMATH Keywords

stochastic volatilityoption pricingcharacteristic functionMarkov chainLévy processvolatility smilejump-diffusionvolatility skew

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model ⋮ FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ Pricing barrier options by a regime switching model ⋮ A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices ⋮ A family of density expansions for Lévy-type processes ⋮ Kac-Lévy processes ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time

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