Option pricing and hedging under a stochastic volatility Lévy process model

DOI10.1007/s11147-011-9070-9zbMath1242.91190OpenAlexW1968551138MaRDI QIDQ437103

J. Herrera, H. S. Yoon

Publication date: 17 July 2012

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-011-9070-9

zbMATH Keywords

hedgingstochastic volatilityoption pricingLévy processregime-switching modelEsscher transformcontinuous Markov chain

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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