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

DOI10.1016/J.AMC.2023.128034MaRDI QIDQ6160626zbMATH OpenFDO

Authors Hyun-Gyoon Kim, Jeong-Hoon Kim

Publication date 26 June 2023

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

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)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• MEAN-REVERTING STOCHASTIC VOLATILITY
• Multiscale exponential Lévy-type models
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Option pricing under hybrid stochastic and local volatility
• Option pricing when underlying stock returns are discontinuous
• Processes of normal inverse Gaussian type
• Singular Perturbations in Option Pricing
• Stock price distributions with stochastic volatility: an analytic approach
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• The Variance Gamma Process and Option Pricing
• The pricing of options and corporate liabilities
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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

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