A tale of two volatilities

DOI10.1007/S11147-009-9038-1zbMATH Open1188.91228OpenAlexW3122169406MaRDI QIDQ1037571FDOQ1037571

Authors: Dilip B. Madan 

Publication date: 16 November 2009

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9038-1

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]skewnessstochastic volatilityscalingtime changes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• A jump-diffusion model for option pricing
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility for Lévy Processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Option pricing using variance gamma Markov chains

Cited In (3)

• Building multivariate Sato models with linear dependence
• Spiking the Volatility Punch
• Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures

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