A stochastic volatility model with jumps

MaRDI QIDQ6476902zbMATH OpenFDO

Authors Youssef El-Khatib

Publication date 22 March 2006

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in infinitely many equivalent martingale measures. We find the set equivalent martingale measures, and we hedge by minimizing the variance using Malliavin calculus.

This page was built for publication: A stochastic volatility model with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6476902)