Smiles \& smirks: volatility and leverage by jumps

DOI10.1016/j.ejor.2021.08.023zbMath1490.91208OpenAlexW3193853914MaRDI QIDQ2076900

Laura Ballotta, Grégory Rayée

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.08.023

zbMATH Keywords

option pricingLévy processfinancetime changedependence

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 (1)

Additive normal tempered stable processes for equity derivatives and power-law scaling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The Pricing of Options and Corporate Liabilities
• Variance swap with mean reversion, multifactor stochastic volatility and jumps
• An investigation of model risk in a market with jumps and stochastic volatility
• Exponential families of stochastic processes
• A general framework for time-changed Markov processes and applications
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
• Multivariate FX models with jumps: triangles, quantos and implied correlation
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
• Hyperbolic distributions in finance
• Integrated structural approach to credit value adjustment
• A neural network-based framework for financial model calibration
• A data-driven framework for consistent financial valuation and risk measurement
• Modelling tail risk with tempered stable distributions: an overview
• VIX derivatives, hedging and vol-of-vol risk
• Quantization meets Fourier: a new technology for pricing options
• Closed-form implied volatility surfaces for stochastic volatility models with jumps
• Analysis of Fourier Transform Valuation Formulas and Applications
• Arbitrage-free SVI volatility surfaces
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• SELF-DECOMPOSABILITY AND OPTION PRICING
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
• Stochastic Volatility for Lévy Processes
• Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
• The Variance Gamma Process and Option Pricing
• Mathematical Finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: Smiles \& smirks: volatility and leverage by jumps