Risk adjustments of option prices under time-changed dynamics

DOI10.1080/14697688.2013.825049zbMath1294.91178OpenAlexW3122776210MaRDI QIDQ2879017

David Sloth, Elisa Nicolato

Publication date: 5 September 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.825049

zbMATH Keywords

Lévy processesasset pricingstochastic volatilitycalibrationanalytical approximationcontingent pricingaffine modelsfutures pricingprice-risk adjustments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications

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