2016•Physica A Statistical Mechanics and its ApplicationsOpen access

Option pricing for stochastic volatility model with infinite activity Lévy jumps

Xiao-Li Gong, Zhuang Xin-tian

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Key concepts: Volatility clustering, Stochastic volatility, Valuation of options, Econometrics, Volatility (finance), Kurtosis, Volatility smile, Lévy process

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