American option valuation under time changed tempered stable Lévy processes

DOI10.1016/j.physa.2016.09.005zbMath1400.91593OpenAlexW2519489392MaRDI QIDQ1620146

Xiao-Li Gong, Xin-Tian Zhuang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.09.005

zbMATH Keywords

stylized factstempered stable processesimproved particle swarm optimizationFourier-cosine technique

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing, Pricing foreign equity option under stochastic volatility tempered stable Lévy processes, A new approach for pricing discounted American options, Perpetual game options with a multiplied penalty, Applications of Hilfer-Prabhakar operator to option pricing financial model, Series representation of the pricing formula for the European option driven by space-time fractional diffusion, Pricing American options by a Fourier transform multinomial tree in a conic market

Cites Work

• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Tempering stable processes
• Processes of normal inverse Gaussian type
• Pricing foreign equity option with stochastic volatility
• Option pricing beyond Black-Scholes based on double-fractional diffusion
• Option pricing for stochastic volatility model with infinite activity Lévy jumps
• Tempered stable Lévy motion driven by stable subordinator
• Variance swaps on time-changed Lévy processes
• A spectral estimation of tempered stable stochastic volatility models and option pricing
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• Pricing average options under time-changed Lévy processes
• Stochastic Volatility for Lévy Processes
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• The Variance Gamma Process and Option Pricing
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case