Calculating the index of volatility in inhomogeneous Levy models

DOI10.3103/S0278641919020067zbMATH Open1430.91112OpenAlexW2953284174MaRDI QIDQ2287149FDOQ2287149

Authors: A. S. Kuvaev, L. V. Nazarov 

Publication date: 23 January 2020

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0278641919020067

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zbMATH Keywords

Levy processvolatility indexgamma-dispersion model

Mathematics Subject Classification ID

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

Cites Work

• Financial Modelling with Jump Processes
• Arbitrage Theory in Continuous Time
• The Variance Gamma Process and Option Pricing
• Towards a theory of volatility trading

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