A stochastic volatility model with jumps
概率论
2011-10-31 v2 证券定价
摘要
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.
引用
@article{arxiv.math/0603527,
title = {A stochastic volatility model with jumps},
author = {Youssef El-Khatib},
journal= {arXiv preprint arXiv:math/0603527},
year = {2011}
}