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...

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Bibliografski detalji

Glavni autori:	Roman V. Ivanov, Katsunori Ano
Format:	Artigo
Jezik:	Inglês
Izdano:	VTeX 2018-11-01
Serija:	Modern Stochastics: Theory and Applications
Teme:	Lévy process change of time compound Poisson process digital option variance-gamma process hypergeometric function
Online pristup:	https://www.vmsta.org/doi/10.15559/18-VMSTA124
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