Pricing and hedging options in normal tempered stable process with 4/2 stochastic volatility

DOI10.1360/N012017-00175zbMATH Open1499.91144OpenAlexW2784424673MaRDI QIDQ5063882

Wei Lin, Xiaohang Chen, Shenghong Li

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/n012017-00175

zbMATH Keywords

stochastic volatilityoption pricingLévy modelnormal tempered stable process

Mathematics Subject Classification ID

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

Related Items (1)

Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility

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