Option pricing and hedging under a stochastic volatility Lévy process model
DOI10.1007/S11147-011-9070-9zbMATH Open1242.91190OpenAlexW1968551138MaRDI QIDQ437103FDOQ437103
Authors: Young Shin Kim, Frank J. Fabozzi, Zuodong Lin, Svetlozar T. Rachev 
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
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option pricingregime-switching modelstochastic volatilityhedgingEsscher transformcontinuous Markov chainLévy process
Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Cites Work
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Cited In (22)
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- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
- Option pricing and hedging under a Markov switching Lévy process model
- Option pricing for stochastic volatility model with infinite activity Lévy jumps
- 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
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- Feynman-Kac theorem in random environments and partial integro-differential equations
- 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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