scientific article; zbMATH DE number 5526028

MaRDI QIDQ3611491zbMATH OpenFDO

Authors Boqiang Huang, Jilong Yang, Shujian Ma

Publication date 6 March 2009

zbMATH Keywords

jump-diffusion processLévy processoption pricing

Mathematics Subject Classification ID

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

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Cited in

(4)

• Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
• Construction of risk-neutral measure in a Brownian motion with exotic option
• scientific article; zbMATH DE number 5855922 (Why is no real title available?)
• HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKET

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