Multiscale exponential Lévy-type models

DOI10.1080/14697688.2014.934712zbMath1398.91606OpenAlexW2040467801MaRDI QIDQ4682996

Matthew Lorig, Oriol Lozano-Carbassé

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.934712

zbMATH Keywords

stochastic volatilitymultiscaleLévy-type processstochastic jump-intensity

Mathematics Subject Classification ID

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

Related Items

Asymptotics for $$d$$ -Dimensional Lévy-Type Processes ⋮ A stochastic-local volatility model with Lévy jumps for pricing derivatives ⋮ Convergence in multiscale financial models with non-Gaussian stochastic volatility

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