Option pricing and hedging for optimized Lévy driven stochastic volatility models-Reference-Cited by-同舟云学术

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Option pricing and hedging for optimized Lévy driven stochastic volatility models

Published:2016-10 Issue: Volume:91 Page:118-127
ISSN:0960-0779
Container-title:Chaos, Solitons & Fractals
language:en
Short-container-title:Chaos, Solitons & Fractals

Author:

Gong Xiao-li,Zhuang Xin-tian

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

General Mathematics,General Physics and Astronomy,Statistical and Nonlinear Physics,Applied Mathematics

Reference41 articles.

1. The fine structure of asset returns: An empirical investigation;Carr;J Bus,2002

2. Estimating the degree of activity of jumps in high frequency data;Sahalia;Ann Stat,2009

3. Option pricing with time-changed Lévy processes;Klingler;App Financ Econ,2013

4. Option pricing under a double exponential jump diffusion model;Kou;Manag Sci,2004

5. Option pricing under non-normality: a comparative analysis;Mozumder;Rev Quan Finance Accout,2013

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1. A generalized European option pricing model with risk management;Physica A: Statistical Mechanics and its Applications;2020-05

2. Risk-sharing finance governance: Islamic vs conventional indexes option pricing;Managerial Finance;2018-05-14

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