CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM

DOI10.1142/S021902491450023XzbMath1304.91226OpenAlexW1975462989MaRDI QIDQ2874728

Gian Luca Tassinari, Michele Leonardo Bianchi

Publication date: 8 August 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491450023x

zbMATH Keywords

volatility smiletime-changed Brownian motionasset price dynamicsmultivariate Esscher transformmultivariate non-Gaussian processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Brownian motion (60J65) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ Learning for infinitely divisible GARCH models in option pricing ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Modelling tail risk with tempered stable distributions: an overview ⋮ RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL ⋮ Catastrophic risks and the pricing of catastrophe equity put options ⋮ Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

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