Leveraged Lévy processes as models for stock prices

DOI10.1080/14697680903067138zbMath1194.91087OpenAlexW2161848009MaRDI QIDQ2786277

Yue Xiao, Dilip B. Madan

Publication date: 21 September 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1903/3064

zbMATH Keywords

asset pricingarbitrage pricingcomputational financeasset allocation

Mathematics Subject Classification ID

Cites Work

• On leverage in a stochastic volatility model
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Pricing contingent claims on stocks driven by Lévy processes
• Time Changes for Lévy Processes
• A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
• A Course in Financial Calculus
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Smart Money, Noise Trading and Stock Price Behaviour
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• Stochastic Volatility for Lévy Processes
• Lévy Processes and Stochastic Calculus
• Fast deterministic pricing of options on Lévy driven assets

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