Multiscale exponential Lévy-type models
type: Item
instance of: scholarly article
title: Multiscale exponential Lévy-type models
zbMATH Open document ID: 1398.91606
DOI: 10.1080/14697688.2014.934712
author: Matthew Lorig
author: Oriol Lozano-Carbassé
published in: Quantitative Finance
publication date: 2018-09-19T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 6939208
zbMATH Keywords: Lévy-type process
zbMATH Keywords: stochastic volatility
zbMATH Keywords: stochastic jump-intensity
zbMATH Keywords: multiscale
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697688.2014.934712
OpenAlex ID: W2040467801
cites work: The pricing of options and corporate liabilities
cites work: Q4331490
cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
cites work: Stochastic Volatility for Lévy Processes
cites work: Financial Modelling with Jump Processes
cites work: Q4509488
cites work: Singular Perturbations in Option Pricing
cites work: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
cites work: Q4272982
cites work: The smile of certain Lévy-type models
cites work: A Jump-Diffusion Model for Option Pricing
cites work: A family of density expansions for Lévy-type processes
cites work: The Variance Gamma Process and Option Pricing
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Applied stochastic control of jump diffusions.
description: scientific article; zbMATH DE number 6939208