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Option pricing and hedging under a stochastic volatility Lévy process model

✍ Scribed by Young Shin Kim; Frank J. Fabozzi; Zuodong Lin; Svetlozar T. Rachev

Book ID
113078841
Publisher
Springer US
Year
2011
Tongue
English
Weight
211 KB
Volume
15
Category
Article
ISSN
1380-6645

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✍ Shian-Chang Huang; Mao-Wei Hung 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 262 KB

This article investigates the valuation of a foreign equity option whose value depends on the exchange rate and foreign equity prices. Assuming that these underlying price processes are correlated and driven by a multidimensional Lévy process, a method suitable for solving the complex valuation prob