A hybrid stochastic volatility model in a Lévy market
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...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2023 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/213430 |
| Acceso en línea: | https://hdl.handle.net/2445/213430 |
| Access Level: | acceso abierto |
| Palabra clave: | Mètode de Montecarlo Anàlisi estocàstica Política de preus Monte Carlo method Analyse stochastique Prices policy |
| Sumario: | 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. |
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