American option valuation under time changed tempered stable Lévy processes

DOI10.1016/J.PHYSA.2016.09.005zbMATH Open1400.91593OpenAlexW2519489392MaRDI QIDQ1620146FDOQ1620146

Authors: 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

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zbMATH Keywords

stylized factstempered stable processesimproved particle swarm optimizationFourier-cosine technique

Mathematics Subject Classification ID

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

Cites Work

• A jump-diffusion model for option pricing
• Title not available (Why is that?)
• Tempering stable processes
• Stochastic Volatility for Lévy Processes
• Processes of normal inverse Gaussian type
• The Variance Gamma Process and Option Pricing
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Tempered stable Lévy motion driven by stable subordinator
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• Variance swaps on time-changed Lévy processes
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• Pricing average options under time-changed Lévy processes
• Option pricing beyond Black-Scholes based on double-fractional diffusion
• Pricing foreign equity option with stochastic volatility
• Option pricing for stochastic volatility model with infinite activity Lévy jumps
• A spectral estimation of tempered stable stochastic volatility models and option pricing
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY

Cited In (8)

• Applications of Hilfer-Prabhakar operator to option pricing financial model
• A new approach for pricing discounted American options
• 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
• Perpetual game options with a multiplied penalty
• The valuation of American options with the stochastic liquidity risk and jump risk
• 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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