Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect

DOI10.1016/j.jmaa.2016.02.044zbMath1333.91056OpenAlexW2281164476MaRDI QIDQ252930

Chenxi Liang, Sheng-Hong Li

Publication date: 4 March 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.02.044

zbMATH Keywords

incomplete marketstochastic volatilityleverage effectCOS methodvariance-optimal hedging

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model ⋮ Reconstruction of the time-dependent volatility function using the Black-Scholes model

Cites Work

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