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

DOI10.1137/19M1289832zbMath1455.91258arXiv1908.03007MaRDI QIDQ5144187

Antoine Jacquier, Lorenzo Torricelli

Publication date: 15 January 2021

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

Full work available at URL: https://arxiv.org/abs/1908.03007

zbMATH Keywords

Lévy processesderivative pricingtriangular arraysbeta distributiontime changesanomalous diffusionssubdiffusionsCTRWsinverse Lévy subordinatorsvolatility skew term structure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Modeling volatility of disaster-affected populations: a non-homogeneous geometric-skew Brownian motion approach ⋮ A subdiffusive stochastic volatility jump model ⋮ Limit theorems for prices of options written on semi-Markov processes

Uses Software

• NMOF

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