Option pricing and hedging under a stochastic volatility Lévy process model

In this paper, we discuss a stochastic volatility model with a Lévy driving process and then apply the model to option pricing and hedging. The stochastic volatility in our model is defined by the continuous Markov chain. The risk-neutral measure is obtained by applying the Esscher transform. The op...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Review of derivatives research 2012-04, Vol.15 (1), p.81-97
Hauptverfasser:	Kim, Young Shin, Fabozzi, Frank J., Lin, Zuodong, Rachev, Svetlozar T.
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Economics and Finance Finance Fourier transforms Hedging Investments and Securities Markov analysis Options trading Skewness Stochastic models Studies Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!