Additive subordination and its applications in finance

DOI10.1007/s00780-016-0300-8zbMath1372.60110OpenAlexW2239185238MaRDI QIDQ309162

Rafael Mendoza-Arriaga, Lingfei Li, Jing Li

Publication date: 7 September 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-016-0300-8

zbMATH Keywords

semimartingalesadditive processesBochner's subordinationspread optionstime-inhomogeneous Markov processes

Mathematics Subject Classification ID

Related Items (16)

Pure jump models for pricing and hedging VIX derivatives ⋮ Additive normal tempered stable processes for equity derivatives and power-law scaling ⋮ Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ Multivariate tempered stable additive subordination for financial models ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance ⋮ Forward or backward simulation? A comparative study ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data ⋮ Option Pricing in Some Non-Lévy Jump Models ⋮ Linear credit risk models ⋮ A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk ⋮ Equivalent measure changes for subordinate diffusions ⋮ Modelling electricity prices: a time change approach

Uses Software

• DLMF

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Evaluating callable and putable bonds: an eigenfunction expansion approach
• Weak convergence and Banach space-valued functions: improving the stability theory of Feynman's operational calculi
• Dirichlet forms and symmetric Markov processes.
• A jump to default extended CEV model: an application of Bessel processes
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• Fast and accurate pricing of barrier options under Lévy processes
• Processes of normal inverse Gaussian type
• Optimal stopping in infinite horizon: an eigenfunction expansion approach
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• On the generation of semigroups of linear operators
• Variance Swaps on Defaultable Assets and Market Implied Time-Changes
• Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
• A Theory of the Term Structure of Interest Rates
• Closed Form Approximations for Spread Options
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING
• Elementary Solutions for Certain Parabolic Partial Differential Equations
• SELF-DECOMPOSABILITY AND OPTION PRICING
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Hypergeometric Orthogonal Polynomials and Their q-Analogues
• A Fourier Transform Method for Spread Option Pricing
• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
• Lévy Processes and Stochastic Calculus
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Uniform Central Limit Theorems
• Lévy processes, polynomials and martingales
• Pricing and Hedging Spread Options
• Bivariate normal mixture spread option valuation
• Feller processes of normal inverse Gaussian type
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
• On additive time-changes of Feller processes
• The Variance Gamma Process and Option Pricing
• Modelling electricity prices: a time change approach
• Equivalent measure changes for subordinate diffusions
• Closed form spread option valuation
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
• Effect of upstream velocity profile on the free mixing of jets with ambient fluid.
• Abstract Evolution Equations
• Diffusion Equation and Stochastic Processes
• Bernstein functions. Theory and applications

This page was built for publication: Additive subordination and its applications in finance