Additive normal tempered stable processes for equity derivatives and power-law scaling

DOI10.1080/14697688.2021.1983200zbMath1490.91206arXiv1909.07139OpenAlexW2972691140MaRDI QIDQ5072909

Roberto Baviera, Michele Azzone

Publication date: 5 May 2022

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

Full work available at URL: https://arxiv.org/abs/1909.07139

zbMATH Keywords

calibrationadditive processvolatility surface

Mathematics Subject Classification ID

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

Related Items (2)

A fast Monte Carlo scheme for additive processes and option pricing ⋮ The economics of time as it is embedded in the prices of options§

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