Option pricing and hedging under a stochastic volatility Lévy process model (Q437103)
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scientific article; zbMATH DE number 6057792
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing and hedging under a stochastic volatility Lévy process model |
scientific article; zbMATH DE number 6057792 |
Statements
Option pricing and hedging under a stochastic volatility Lévy process model (English)
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17 July 2012
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option pricing
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hedging
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stochastic volatility
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continuous Markov chain
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regime-switching model
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Lévy process
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Esscher transform
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0.8526992797851562
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0.8381751775741577
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0.8380688428878784
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0.8353521823883057
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0.8309165239334106
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