Stochastic volatility, jumps and hidden time changes
From MaRDI portal
Publication:1848532
DOI10.1007/s780-002-8401-3zbMath1006.60026OpenAlexW2064546237MaRDI QIDQ1848532
Marc Yor, Dilip B. Madan, Hélyette Geman
Publication date: 21 November 2002
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s780-002-8401-3
Signal detection and filtering (aspects of stochastic processes) (60G35) General theory of stochastic processes (60G07)
Related Items
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING, Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes, OPTION SURFACE STATISTICS WITH APPLICATIONS, On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations, Infinite divisibility for stochastic processes and time change, Quadratic variation, models, applications and lessons, A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns, Optimal portfolio allocation with higher moments, Valuing Bermudan options when asset returns are Lévy processes, On the class of distributions of subordinated Lévy processes and bases, Unnamed Item, Unnamed Item, Approximation for the Normal Inverse Gaussian Process Using Random Sums, Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes., CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
