Extracting market information from equity options with exponential Lévy processes

DOI10.1016/j.jedc.2013.10.001zbMath1402.91774OpenAlexW2040578088MaRDI QIDQ1994305

Arturo Leccadito, Frank J. Fabozzi, Radu S. Tunaru

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.10.001

zbMATH Keywords

risk-neutral densitypricing kernelexponential Lévy processesrelative risk-aversion coefficient

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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Extending the Merton model with applications to credit value adjustment, The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index, The stock implied volatility and the implied dividend volatility

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