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https://hdl.handle.net/2445/213430Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | El-Khatib, Youssef | - |
| dc.contributor.author | Goutte, Stephane | - |
| dc.contributor.author | Makumbe, Zororo Stanelake | - |
| dc.contributor.author | Vives i Santa Eulàlia, Josep, 1963- | - |
| dc.date.accessioned | 2024-06-19T11:07:26Z | - |
| dc.date.issued | 2023 | - |
| dc.identifier.issn | 1059-0560 | - |
| dc.identifier.uri | https://hdl.handle.net/2445/213430 | - |
| dc.description.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. | - |
| dc.format.extent | 16 p. | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | eng | - |
| dc.publisher | Elsevier | - |
| dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.iref.2023.01.005 | - |
| dc.relation.ispartof | International Review of Economics & Finance, 2023, vol. 85, p. 220-235 | - |
| dc.relation.uri | https://doi.org/10.1016/j.iref.2023.01.005 | - |
| dc.rights | (c) Elsevier, 2023 | - |
| dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
| dc.subject.classification | Mètode de Montecarlo | - |
| dc.subject.classification | Anàlisi estocàstica | - |
| dc.subject.classification | Política de preus | - |
| dc.subject.other | Monte Carlo method | - |
| dc.subject.other | Analyse stochastique | - |
| dc.subject.other | Prices policy | - |
| dc.title | A hybrid stochastic volatility model in a Lévy market | - |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/acceptedVersion | - |
| dc.identifier.idgrec | 745644 | - |
| dc.date.updated | 2024-06-19T11:07:31Z | - |
| dc.rights.accessRights | info:eu-repo/semantics/embargoedAccess | - |
| dc.embargo.lift | 2025-12-31 | - |
| dc.date.embargoEndDate | info:eu-repo/date/embargoEnd/2025-12-31 | - |
| Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 851628.pdf | 4.62 MB | Adobe PDF | View/Open Request a copy |
Document embargat fins el
31-12-2025
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