European option pricing under the Student's \(t\) noise with jumps

DOI10.1016/J.PHYSA.2016.11.131zbMath1400.91619OpenAlexW2556703183MaRDI QIDQ1620416

Zhe Li, Le Zhuang, Xiao-Tian Wang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.11.131

zbMATH Keywords

value-at-riskrisk preferenceimplied-volatility-smilesminimal mean-square-error hedgingoption pricing under the incomplete information

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• A non-Gaussian option pricing model with skew
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• Introduction to Econophysics
• Option pricing when underlying stock returns are discontinuous

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