Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/213430
Title: A hybrid stochastic volatility model in a Lévy market
Author: El-Khatib, Youssef
Goutte, Stephane
Makumbe, Zororo Stanelake
Vives i Santa Eulàlia, Josep, 1963-
Keywords: Mètode de Montecarlo
Anàlisi estocàstica
Política de preus
Monte Carlo method
Analyse stochastique
Prices policy
Issue Date: 2023
Publisher: Elsevier
Abstract: This paper deals with the problem of pricing and hedging financial options in a hybrid stochastic volatility model with jumps and a comparative study of its stylized facts. Under these settings, the market is incomplete, which leads to the existence of infinitely many risk-neutral measures. In order to price an option, a set of risk-neutral measures is determined. Moreover, the PIDE of an option price is derived using the Itô formula. Furthermore, Malliavin–Skorohod Calculus is utilized to hedge options and compute price sensitivities. The obtained results generalize the existing pricing and hedging formulas for the Heston as well as for the CEV stochastic volatility models.
Note: Versió postprint del document publicat a: https://doi.org/10.1016/j.iref.2023.01.005
It is part of: International Review of Economics & Finance, 2023, vol. 85, p. 220-235
URI: https://hdl.handle.net/2445/213430
Related resource: https://doi.org/10.1016/j.iref.2023.01.005
ISSN: 1059-0560
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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