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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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| File | Description | Size | Format | |
|---|---|---|---|---|
| 851628.pdf | 4.62 MB | Adobe PDF | View/Open Request a copy |
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31-12-2025
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