Option pricing in time-changed Lévy models with compound Poisson jumps
The problem of European-style option pricing in time-changed Lévy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the time-changed Lévy models, the variance-gamma and the normal-inver...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2018-11-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/18-VMSTA124 |