Option pricing for a stochastic volatility Lévy model with stochastic interest rates

DOI10.1016/j.jkss.2012.04.007zbMath1294.91179OpenAlexW2014952306MaRDI QIDQ2511813

Pairote Sattayatham, S. Pinkham

Publication date: 6 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2012.04.007

zbMATH Keywords

option pricingstochastic interest rateEuropean optionstime-change Lévy process

Mathematics Subject Classification ID

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

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