A generalized European option pricing model with risk management
作者: Chengxiao FengJie TanZhenyu JiangShuang Chen
作者单位: 1Hubei University, Business School, China
2Sun Yat-sen University, School of Management, China
3Huazhong University of Science and Technology, School of Management, China
刊名: Physica A: Statistical Mechanics and its Applications, 2020, Vol.545
来源数据库: Elsevier Journal
DOI: 10.1016/j.physa.2019.123797
关键词: FinanceOption pricingRisk managementLevy processes
原始语种摘要: Abstract(#br)Risk control systems in financial markets with numerous innovative financial products are characterized by infrequent and significant fluctuations (e.g., financial crises and minor disturbances occurring anytime and anywhere). Given that the traditional Black–Scholes (BS) model is difficult to adapt to ever-changing financial markets, to better describe real financial markets, this paper presents a generalized European option-pricing model with stochastic volatility and stochastic interest rates and pure jumps under Levy processes, which are stochastic processes with both stationary and independent increments. We use the Levy–Ito formula and measurement tools to transform logarithmic stock prices into conditions under risk neutral measures, and the characteristic functions of...
全文获取路径: Elsevier  (合作)

  • pricing 定价
  • option 选择
  • management 管理
  • leptokurtosis 峰态
  • financial 财政的
  • European 欧洲人
  • model 模型
  • logarithmic 对数的
  • prices 行情
  • stochastic 随机的