Option pricing and hedging for optimized Lévy driven stochastic volatility models
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- 作者：Xiao-li Gong ; qdgongxiaoli@126.com" class="auth_mail" title="E-mail the corresponding author ; Xin-tian Zhuang
- 关键词：OU process ; Infinite activity Lé ; vy jumps ; Hybrid PSO and DE optimization ; Option pricing and hedging
- 刊名：Chaos, Solitons & Fractals
- 出版年：2016
- 出版时间：October 2016
- 年：2016
- 卷：91
- 期：Complete
- 页码：118-127
- 全文大小：1308 K
文摘
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Stochastic volatility Lévy processes with Classical Tempered Stable marginal law.
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Present hybrid PSO and hybrid DE algorithm for calibration.
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Option pricing and hedging in capturing leptokurtosis and clustering.
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Examine performances of time changed Lévy models on Chinese markets.