Chapter 7. Lévy Models with Stochastic Volatility

  1. Wim Schoutens

Published Online: 1 SEP 2003

DOI: 10.1002/0470870230.ch7

Lévy Processes in Finance: Pricing Financial Derivatives

Lévy Processes in Finance: Pricing Financial Derivatives

How to Cite

Schoutens, W. (2003) Lévy Models with Stochastic Volatility, in Lévy Processes in Finance: Pricing Financial Derivatives, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/0470870230.ch7

Author Information

  1. Katholieke Universiteit Leuven, Belgium

Publication History

  1. Published Online: 1 SEP 2003
  2. Published Print: 25 MAR 2003

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470851562

Online ISBN: 9780470870235

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Summary

This chapter contains sections titled:

  • The BNS Model

    • The BNS Model with Gamma SV

    • The BNS Model with IG SV

  • The Stochastic Time Change

    • The Integrated CIR Time Change

    • The IntOU Time Change

  • The Lévy SV Market Model

  • Calibration of Market Option Prices

    • Calibration of the BNS Models

    • Calibration of the Lévy SV Models

  • Conclusion