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...

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Detalles Bibliográficos
Autores: El-Khatib, Youssef, Goutte, Stephane, Makumbe, Zororo Stanelake, Vives i Santa Eulàlia, Josep, 1963-
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
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spelling A hybrid stochastic volatility model in a Lévy marketEl-Khatib, YoussefGoutte, StephaneMakumbe, Zororo StanelakeVives i Santa Eulàlia, Josep, 1963-Mètode de MontecarloAnàlisi estocàsticaPolítica de preusMonte Carlo methodAnalyse stochastiquePrices policyThis 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.Elsevier2024202520232024info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion16 p.application/pdfhttps://hdl.handle.net/2445/213430Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésVersió postprint del document publicat a: https://doi.org/10.1016/j.iref.2023.01.005International Review of Economics & Finance, 2023, vol. 85, p. 220-235https://doi.org/10.1016/j.iref.2023.01.005(c) Elsevier, 2023info:eu-repo/semantics/openAccessoai:recercat.cat:2445/2134302026-05-29T05:05:01Z
dc.title.none.fl_str_mv A hybrid stochastic volatility model in a Lévy market
title A hybrid stochastic volatility model in a Lévy market
spellingShingle A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef
Mètode de Montecarlo
Anàlisi estocàstica
Política de preus
Monte Carlo method
Analyse stochastique
Prices policy
title_short A hybrid stochastic volatility model in a Lévy market
title_full A hybrid stochastic volatility model in a Lévy market
title_fullStr A hybrid stochastic volatility model in a Lévy market
title_full_unstemmed A hybrid stochastic volatility model in a Lévy market
title_sort A hybrid stochastic volatility model in a Lévy market
dc.creator.none.fl_str_mv El-Khatib, Youssef
Goutte, Stephane
Makumbe, Zororo Stanelake
Vives i Santa Eulàlia, Josep, 1963-
author El-Khatib, Youssef
author_facet El-Khatib, Youssef
Goutte, Stephane
Makumbe, Zororo Stanelake
Vives i Santa Eulàlia, Josep, 1963-
author_role author
author2 Goutte, Stephane
Makumbe, Zororo Stanelake
Vives i Santa Eulàlia, Josep, 1963-
author2_role author
author
author
dc.subject.none.fl_str_mv Mètode de Montecarlo
Anàlisi estocàstica
Política de preus
Monte Carlo method
Analyse stochastique
Prices policy
topic Mètode de Montecarlo
Anàlisi estocàstica
Política de preus
Monte Carlo method
Analyse stochastique
Prices policy
description 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.
publishDate 2023
dc.date.none.fl_str_mv 2023
2024
2024
2025
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/213430
url https://hdl.handle.net/2445/213430
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1016/j.iref.2023.01.005
International Review of Economics & Finance, 2023, vol. 85, p. 220-235
https://doi.org/10.1016/j.iref.2023.01.005
dc.rights.none.fl_str_mv (c) Elsevier, 2023
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Elsevier, 2023
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 16 p.
application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,812429

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