An Analytical Valuation Framework for Financial Assets with Trading Suspensions

DOI10.1137/18M1229821zbMath1444.91209OpenAlexW2794658748MaRDI QIDQ3295872

Christian Fries, Lorenzo Torricelli

Publication date: 13 July 2020

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

Full work available at URL: https://doi.org/10.1137/18m1229821

zbMATH Keywords

Lévy processesderivative pricingtime changesLévy subordinatorsmarket halts and suspensions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure

Cites Work

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