کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4614671 1339296 2016 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
چکیده انگلیسی

This paper develops a semi-analytical exact solution for the discrete-time variance-optimal hedging strategy based on two-dimensional Fourier cosine series expansions. This approach is novel and is more efficient than those previously suggested in the literature. Numerical studies for different models also suggest that the algorithm has better accuracy and stability for the pricing and hedging problems. A Lévy-based stochastic volatility model considering the leverage effect is also proposed. We have employed data on Apple stock prices and the corresponding option contracts to test this model to evaluate its ability to perform pricing and hedging. In summary, our model design is relatively reliable in the context of the known empirical patterns such as the existence of jumps, the volatility smile and the negative correlation between asset returns and volatilities.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 438, Issue 2, 15 June 2016, Pages 1010–1029
نویسندگان
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