Option pricing and hedging under a stochastic volatility Lévy process model
Young Shin Kim; Frank J. Fabozzi; Zuodong Lin; Svetlozar T. Rachev
| Year of publication: |
2012
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|---|---|
| Authors: | Kim, Young Shin ; Fabozzi, Frank J. ; Lin, Zuodong ; Račev, Svetlozar T. |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 15.2012, 1, p. 81-97
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| Subject: | Option pricing | Hedging | Stochastic volatility | Continuous Markov chain | Regime-switching model | Lévy process | Esscher transform | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Volatilität | Volatility | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009627431