A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing

DOI10.1080/14697680902849353zbMath1185.91192OpenAlexW2122068797MaRDI QIDQ5189716

Anders B. Eriksson

Publication date: 11 March 2010

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

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22154

zbMATH Keywords

stochastic volatilityLévy processderivative pricingmultivariate Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A general version of the fundamental theorem of asset pricing
• Actuarial bridges to dynamic hedging and option pricing
• Generalized autoregressive conditional heteroscedasticity
• The Second Fundamental Theorem of Asset Pricing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
• Stochastic Volatility for Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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