Option pricing and hedging under a stochastic volatility Lévy process model
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Cites work
- scientific article; zbMATH DE number 5566166 (Why is no real title available?)
- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 1742902 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Financial Modelling with Jump Processes
- Financial models with Lévy processes and volatility clustering.
- Mathematics of financial markets
- Option pricing and Esscher transform under regime switching
- Option pricing in a regime-switching model using the fast Fourier transform
- Smoothly truncated stable distributions, GARCH-models, and option pricing
- Stable Paretian models in finance
- Stochastic Volatility for Lévy Processes
- THE GARCH OPTION PRICING MODEL
- The minimal entropy martingale measures for geometric Lévy processes
- The pricing of options and corporate liabilities
- The relative entropy in CGMY processes and its applications to finance
Cited in
(22)- scientific article; zbMATH DE number 5526028 (Why is no real title available?)
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
- Option pricing for stochastic volatility model with infinite activity Lévy jumps
- Option pricing and hedging under a Markov switching Lévy process model
- Tempered stable structural model in pricing credit spread and credit default swap
- Pricing of American call options under the Lévy model with stochastic volatility
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- Option pricing and hedging for optimized Lévy driven stochastic volatility models
- Option pricing for a stochastic volatility Lévy model with stochastic interest rates
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation
- Analytic techniques for option pricing under a hyperexponential Lévy model
- Pricing and hedging of general rating-sensitive claims in a jump-diffusion market model in the presence of stochastic factors
- Lévy processes driven by stochastic volatility
- Quanto option pricing in the presence of fat tails and asymmetric dependence
- Pricing and hedging options in normal tempered stable process with 4/2 stochastic volatility
- Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
- Pricing of quanto option under the Hull and White stochastic volatility model
- Feynman-Kac theorem in random environments and partial integro-differential equations
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing
- Options pricing with time changed Lévy processes under imprecise information
- Factor copula model for portfolio credit risk
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