The Smile of Certain Lévy-Type Models

DOI10.1137/12090246XzbMath1282.91332arXiv1207.1630MaRDI QIDQ2873150

Matthew Lorig, Antoine Jacquier

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.1630

zbMATH Keywords

defaultregular perturbationimplied volatilitylocal volatilityCEVLévy-type models

Mathematics Subject Classification ID

Related Items (8)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model ⋮ Pricing Bermudan options under local Lévy models with default ⋮ Pricing approximations and error estimates for local Lévy-type models with default ⋮ A family of density expansions for Lévy-type processes ⋮ Multiscale exponential Lévy-type models ⋮ Pricing Variance Swaps on Time-Changed Markov Processes ⋮ Analytical Expansions for Parabolic Equations

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