Option pricing in an exponential mixedts Lévy process

DOI10.1007/S10479-016-2180-XzbMath1404.91259OpenAlexW2184018645WikidataQ115605363 ScholiaQ115605363MaRDI QIDQ1703561

Edit Rroji, Lorenzo Mercuri

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/458171

zbMATH Keywords

calibrationexponential Lévy processR packagemixed tempered stable

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (5)

On Properties of the MixedTS Distribution and Its Multivariate Extension ⋮ Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization ⋮ VIX derivatives, hedging and vol-of-vol risk ⋮ Hilbert transform, spectral filters and option pricing ⋮ PricingMixedTS

Uses Software

• R

Cites Work

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• Sato processes and the valuation of structured products
• Mixed tempered stable distribution
• Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
• A further look at robustness via Bayes's theorem

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