A hybrid stochastic volatility model in a Lévy market
Youssef El-Khatib, Stephane Goutte, Zororo S. Makumbe, Josep Vives
| Year of publication: |
2023
|
|---|---|
| Authors: | El-Khatib, Youssef ; Goutte, Stéphane ; Makumbe, Zororo S. ; Vives, Josep |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 85.2023, p. 220-235
|
| Subject: | European options | Lévy processes | Monte Carlo method | Numerical simulations | Stochastic volatility Black and Scholes Formula | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014424191