American option valuation under time changed tempered stable Lévy processes

DOI10.1016/J.PHYSA.2016.09.005zbMath1400.91593OpenAlexW2519489392MaRDI QIDQ1620146

Xiao-Li Gong, Xin-Tian Zhuang

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.09.005

zbMATH Keywords

stylized factstempered stable processesimproved particle swarm optimizationFourier-cosine technique

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing ⋮ Pricing foreign equity option under stochastic volatility tempered stable Lévy processes ⋮ A new approach for pricing discounted American options ⋮ Perpetual game options with a multiplied penalty ⋮ Applications of Hilfer-Prabhakar operator to option pricing financial model ⋮ Series representation of the pricing formula for the European option driven by space-time fractional diffusion ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

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