Option pricing and hedging under a stochastic volatility Lévy process model
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Publication:437103
DOI10.1007/s11147-011-9070-9zbMath1242.91190MaRDI QIDQ437103
Publication date: 17 July 2012
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-011-9070-9
hedging; stochastic volatility; option pricing; Lévy process; regime-switching model; Esscher transform; continuous Markov chain
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)