Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models

Youssef El-Khatib, Zororo S. Makumbe and Josep Vives

Mathematics and Computers in Simulation (MATCOM), 2025, vol. 231, issue C, 276-293

Abstract: Let the log returns of an asset Xt=log(St) be defined on a risk neutral filtered probability space (Ω,F,(Ft)t∈[0,T],P) for some 0Keywords: Lévy processes; Stochastic volatility; Option price decomposition; Tempered stable; Variance Gamma (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:231:y:2025:i:c:p:276-293

DOI: 10.1016/j.matcom.2024.12.010

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