Option pricing and hedging for optimized Lévy driven stochastic volatility models

DOI10.1016/j.chaos.2016.05.012zbMath1375.91223OpenAlexW2410777246MaRDI QIDQ2410398

Xin-Tian Zhuang, Xiao-Li Gong

Publication date: 18 October 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2016.05.012

zbMATH Keywords

hedgingoption pricingOrnstein-Uhlenbeck processhybrid particle swarm optimizationhybrid differential evolution optimizationinfinite activity Lévy jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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