A spectral estimation of tempered stable stochastic volatility models and option pricing

DOI10.1016/j.csda.2010.11.013zbMath1254.91725OpenAlexW2129578627MaRDI QIDQ1927145

Fulvio Ortu, Junye Li, Carlo A. Favero

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://econpapers.repec.org/RePEc:igi:igierp:370

zbMATH Keywords

stochastic volatilityoption pricingempirical characteristic functioncontinuous GMMinfinite-activity jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

American option valuation under time changed tempered stable Lévy processes ⋮ The indirect continuous-GMM estimation ⋮ Option pricing and hedging for optimized Lévy driven stochastic volatility models ⋮ Inference based on adaptive grid selection of probability transforms

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