Option pricing and hedging for optimized Lévy driven stochastic volatility models
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DOI: 10.1016/j.chaos.2016.05.012
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- Feng, Chengxiao & Tan, Jie & Jiang, Zhenyu & Chen, Shuang, 2020. "A generalized European option pricing model with risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
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Keywords
OU process; Infinite activity Lévy jumps; Hybrid PSO and DE optimization; Option pricing and hedging;All these keywords.
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