Cover Image

A stochastic volatility model with jumps

We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in infinitely many equivalent martingale measures. We find the set equivalent martingale measures, and we hedge by minimizing the variance using Malliavin calculus.
Year of publication:
2006-03
Authors: El-Khatib, Youssef
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10005099276
Similar items by person