From local volatility to local Lévy models

DOI10.1080/14697680400024921zbMath1405.91600OpenAlexW1965858440MaRDI QIDQ4610266

Dilip B. Madan, Hélyette Geman, Peter Carr, Marc Yor

Publication date: 15 January 2019

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/1448

zbMATH Keywords

local volatilityoption priceslocal Lévy models

Mathematics Subject Classification ID

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

Related Items (16)

Some results on Skorokhod embedding and robust hedging with local time ⋮ Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model ⋮ Extrapolation Analytics for Dupire’s Local Volatility ⋮ Option pricing under some Lévy-like stochastic processes ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ Option pricing in illiquid markets: a fractional jump-diffusion approach ⋮ Reconstruction of the time-dependent volatility function using the Black-Scholes model ⋮ Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations ⋮ Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method ⋮ Methods for the rapid solution of the pricing PIDEs in exponential and Merton models ⋮ Time since maximum of Brownian motion and asymmetric Lévy processes ⋮ Optimal importance sampling for Lévy processes ⋮ Forward equations for option prices in semimartingale models ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing ⋮ On Skorokhod embeddings and Poisson equations

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• First passage times of a jump diffusion process
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing

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