A stochastic-local volatility model with Lévy jumps for pricing derivatives

DOI10.1016/J.AMC.2023.128034MaRDI QIDQ6160626FDOQ6160626

Authors: Hyun-Gyoon Kim, Jeong-Hoon Kim 

Publication date: 26 June 2023

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Recommendations

• Local stochastic volatility with jumps: analytical approximations
• Multiscale exponential Lévy-type models
• Smiles \& smirks: volatility and leverage by jumps
• An asymptotic expansion for local-stochastic volatility with jump models
• From local volatility to local Lévy models

zbMATH Keywords

stochastic volatilitypartial integro-differential equationderivatives pricingLévy processelasticity of variance

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx) Markov processes (60Jxx)

Cites Work

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• Financial Modelling with Jump Processes
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Processes of normal inverse Gaussian type
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Singular Perturbations in Option Pricing
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Stock price distributions with stochastic volatility: an analytic approach
• Option pricing when underlying stock returns are discontinuous
• Applied stochastic control of jump diffusions
• Title not available (Why is that?)
• An asymptotic expansion for local-stochastic volatility with jump models
• Option pricing under hybrid stochastic and local volatility
• MEAN-REVERTING STOCHASTIC VOLATILITY
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• Multiscale exponential Lévy-type models
• Fractional stochastic volatility correction to CEV implied volatility

Cited In (4)

• A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
• Identification of the local speed function in a Lévy model for option pricing
• Stability of an implicit method to evaluate option prices under local volatility with jumps

This page was built for publication: A stochastic-local volatility model with Lévy jumps for pricing derivatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6160626)