A moment matching market implied calibration

DOI10.1080/14697688.2013.794950zbMath1281.91183OpenAlexW2068890003MaRDI QIDQ5397467

Florence Guillaume, Wim Schoutens

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.794950

zbMATH Keywords

Lévy processfinancial engineeringoptions applications

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Towards a \(\Delta\)-Gamma Sato multivariate model ⋮ Asymmetric short-rate model without lower bound ⋮ Heston model: the variance swap calibration ⋮ A bootstrapping market implied moment matching calibration for models with time-dependent parameters

Cites Work

• Option pricing using variance gamma Markov chains
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem

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