Additive subordination and its applications in finance

DOI10.1007/S00780-016-0300-8zbMath1372.60110OpenAlexW2239185238MaRDI QIDQ309162

Rafael Mendoza-Arriaga, Lingfei Li, Jing Li

Publication date: 7 September 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-016-0300-8

zbMATH Keywords

semimartingalesadditive processesBochner's subordinationspread optionstime-inhomogeneous Markov processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) One-parameter semigroups and linear evolution equations (47D06) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Transition functions, generators and resolvents (60J35)

Related Items (16)

Pure jump models for pricing and hedging VIX derivatives ⋮ Additive normal tempered stable processes for equity derivatives and power-law scaling ⋮ Pricing variance swaps under subordinated Jacobi stochastic volatility models ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ Multivariate tempered stable additive subordination for financial models ⋮ Parametric inference for discretely observed subordinate diffusions ⋮ An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance ⋮ Forward or backward simulation? A comparative study ⋮ A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps ⋮ Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data ⋮ Option Pricing in Some Non-Lévy Jump Models ⋮ Linear credit risk models ⋮ A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk ⋮ Equivalent measure changes for subordinate diffusions ⋮ Modelling electricity prices: a time change approach

Uses Software

• DLMF

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