A stochastic volatility model with jumps
Probability
2011-10-31 v2 Pricing of Securities
Abstract
We consider a stochastic volatility model with jumps where the underlying asset price is driven by the process sum of a 2-dimensional Brownian motion and a 2-dimensional compensated Poisson process. The market is incomplete, resulting in infinitely many equivalent martingale measures. We find the set equivalent martingale measures, and we hedge by minimizing the variance using Malliavin calculus.
Keywords
Cite
@article{arxiv.math/0603527,
title = {A stochastic volatility model with jumps},
author = {Youssef El-Khatib},
journal= {arXiv preprint arXiv:math/0603527},
year = {2011}
}