Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility

DOI10.1016/j.jmaa.2014.10.033zbMath1299.91145OpenAlexW2042702605MaRDI QIDQ465438

Chenxi Liang, Sheng-Hong Li

Publication date: 31 October 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2014.10.033

zbMATH Keywords

hedgingstochastic volatilityoption pricingLévy modelnormal tempered stable

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

Option pricing and hedging for optimized Lévy driven stochastic volatility models ⋮ Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Pricing vulnerable European options under Lévy process with stochastic volatility ⋮ Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect

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