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Option pricing under stochastic volatility and tempered stable Lévy jumps · Study

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ArticleOption pricing under stochastic volatility and tempered stable Lévy jumps

Tsvetelin Zaevski2013

Article2013

Option pricing under stochastic volatility and tempered stable Lévy jumps

Tsvetelin Zaevski · Young Shin Kim · Frank J. Fabozzi

26 citations·0/0 files stored·International Review of Financial Analysis

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1999Option valuation using the fast Fourier transform 2004Lévy Processes and Stochastic Calculus

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2016Option pricing for stochastic volatility model with infinite activity Lévy jumps

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Year2013

Typearticle

Published2013-10-31

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.irfa.2013.10.004

openalex_workW1998921923

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