Option pricing and hedging under a stochastic volatility Lévy process model
| Year of publication: |
2012
|
|---|---|
| Authors: | Kim, Young ; Fabozzi, Frank ; Lin, Zuodong ; Rachev, Svetlozar |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 15.2012, 1, p. 81-97
|
| Publisher: |
Springer |
| Subject: | Option pricing | Hedging | Stochastic volatility | Continuous Markov chain | Regime-switching model | Lévy process | Esscher transform |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010867545