Option pricing for stochastic volatility model with infinite activity Lévy jumps
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- repec:eee:phsmap:v:518:y:2019:i:c:p:22-29 is not listed on IDEAS
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 148-159.
- repec:eee:phsmap:v:485:y:2017:i:c:p:91-103 is not listed on IDEAS
- Gong, Xiaoli & Zhuang, Xintian, 2017. "American option valuation under time changed tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 57-68.
- repec:eee:phsmap:v:483:y:2017:i:c:p:83-93 is not listed on IDEAS
More about this item
KeywordsStochastic volatility; Infinite activity Lévy process; Differential Evolution algorithm; Option pricing;
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