Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression (Q458120): Difference between revisions

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+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
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@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
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+J02
@@ Property / Mathematics Subject Classification ID: 62J02 / rank @@
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@@ Property / zbMATH DE Number @@
+6349828
@@ Property / zbMATH DE Number: 6349828 / rank @@
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@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
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@@ Property / zbMATH Keywords @@
+Lévy process
@@ Property / zbMATH Keywords: Lévy process / rank @@
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@@ Property / zbMATH Keywords @@
+nonlinear regression
@@ Property / zbMATH Keywords: nonlinear regression / rank @@
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@@ Property / zbMATH Keywords @@
+asymptotic expansion
@@ Property / zbMATH Keywords: asymptotic expansion / rank @@
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+https://doi.org/10.1016/j.jkss.2010.10.001
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@@ Property / cites work @@
+Volatility estimators for discretely sampled Lévy processes
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@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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@@ Property / cites work @@
+Empirical properties of asset returns: stylized facts and statistical issues
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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@@ Property / cites work @@
+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
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@@ Property / cites work @@
+Q2845921
@@ Property / cites work: Q2845921 / rank @@
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@@ Property / cites work @@
+Nonparametric estimation of time-changed Lévy models under high-frequency data
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@@ Property / cites work @@
+Estimation of the characteristics of a Lévy process
+Normal rank
@@ Property / cites work @@
+Integrated insurance risk models with exponential Lévy investment
+Normal rank
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+Optimal investment for insurers when the stock price follows an exponential Lévy process
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+CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
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@@ Property / cites work @@
+Nonparametric estimation for Lévy processes from low-frequency observations
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@@ Property / cites work @@
+Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
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@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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@@ Property / cites work @@
+Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
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@@ Property / cites work @@
+Asymptotic option pricing under a pure jump process
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@@ Property / cites work @@
+Lévy density estimation via information projection onto wavelet subspaces
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@@ links / mardi / name / links / mardi / name @@
+Publication:458120