Option pricing and hedging under a stochastic volatility Lévy process model (Q437103)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Option pricing and hedging under a stochastic volatility Lévy process model |
scientific article; zbMATH DE number 6057792
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing and hedging under a stochastic volatility Lévy process model |
scientific article; zbMATH DE number 6057792 |
Statements
Option pricing and hedging under a stochastic volatility Lévy process model (English)
0 references
17 July 2012
0 references
option pricing
0 references
hedging
0 references
stochastic volatility
0 references
continuous Markov chain
0 references
regime-switching model
0 references
Lévy process
0 references
Esscher transform
0 references
0 references
