Option pricing in stochastic volatility models driven by fractional Lévy processes
Year of publication: |
2016
|
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Authors: | Tong, Zhigang |
Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 5.2016, 1, p. 56-75
|
Subject: | option pricing | stochastic volatility | Lévy-driven OU process | fractional Lévy | fractional calculus | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Unvollkommener Markt | Incomplete market |
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