Option pricing for stochastic volatility model with infinite activity Lévy jumps

DOI10.1016/j.physa.2016.02.064zbMath1400.91592OpenAlexW2293819572MaRDI QIDQ1619524

Xiao-Li Gong, Xin-Tian Zhuang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.02.064

zbMATH Keywords

stochastic volatilityoption pricingdifferential evolution algorithminfinite activity Lévy process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

American option valuation under time changed tempered stable Lévy processes ⋮ Pricing foreign equity option under stochastic volatility tempered stable Lévy processes ⋮ Pricing vulnerable options with stochastic volatility ⋮ Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles ⋮ Option replication with transaction cost under Knightian uncertainty ⋮ Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods

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