Option pricing and hedging under a stochastic volatility Lévy process model

被引：0
作者：
Young Shin Kim
Frank J. Fabozzi
Zuodong Lin
Svetlozar T. Rachev
机构：
[1] Karlsruhe Institute of Technology,Department of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering
[2] EDHEC Business School,HECTOR School of Engineering and Management, International Department
[3] Karlsruhe Institute of Technology,Department of Applied Mathematics and Statistics
[4] Stony Brook University,undefined
[5] FinAnalytica,undefined
来源：
Review of Derivatives Research | 2012年 / 15卷
关键词：
Option pricing; Hedging; Stochastic volatility; Continuous Markov chain; Regime-switching model; Lévy process; Esscher transform; C6; G11; G12; G13;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we discuss a stochastic volatility model with a Lévy driving process and then apply the model to option pricing and hedging. The stochastic volatility in our model is defined by the continuous Markov chain. The risk-neutral measure is obtained by applying the Esscher transform. The option price using this model is computed by the Fourier transform method. We obtain the closed-form solution for the hedge ratio by applying locally risk-minimizing hedging.
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页码：81 / 97
页数：16
相关论文
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