Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930)
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scientific article; zbMATH DE number 6549776
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| English | Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect |
scientific article; zbMATH DE number 6549776 |
Statements
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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0.9334037
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0.92814744
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0.9122835
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0.90859973
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0.9078235
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0.90594554
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0.90556693
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0.90235156
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