A hybrid stochastic volatility model in a Lévy market
Year of publication: |
2023
|
---|---|
Authors: | El-Khatib, Youssef ; Goutte, Stéphane ; Makumbe, Zororo S. ; Vives, Josep |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 85.2023, p. 220-235
|
Subject: | European options | Lévy processes | Monte Carlo method | Numerical simulations | Stochastic volatility Black and Scholes Formula | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation | Experiment | Black-Scholes-Modell | Black-Scholes model |
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