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 (6)

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 ⋮ Kac-Lévy processes ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Approximations for functionals and optimal control problems on jump diffusion processes
• Processes of normal inverse Gaussian type
• Post-'87 crash fears in the S\&P 500 futures option market
• Time Changes for Lévy Processes
• A Theory of the Term Structure of Interest Rates
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Numerical Methods for Stochastic Control Problems in Continuous Time

This page was built for publication: Lévy processes driven by stochastic volatility