Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance

DOI10.1080/14697680902748506zbMath1188.91212OpenAlexW2129318400MaRDI QIDQ3404096

Álvaro Cartea, S. D. Howison

Publication date: 5 February 2010

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

Full work available at URL: http://hdl.handle.net/10016/12186

zbMATH Keywords

Lévy processcommodity markethedging techniquescommodity market prices

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

A subdiffusive stochastic volatility jump model ⋮ Modeling of financial processes with a space-time fractional diffusion equation of varying order ⋮ Derivatives pricing with marked point processes using tick-by-tick data ⋮ Rates for branching particle approximations of continuous-discrete filters

Cites Work

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• The impact of fat tailed returns on asset allocation
• Portfolio selection with stable distributed returns
• Option pricing for a logstable asset price model
• Value-at-risk and asset allocation with stable return distributions
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Time Change Representation of Stochastic Integrals

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