Calculating the index of volatility in inhomogeneous Levy models

DOI10.3103/S0278641919020067MaRDI QIDQ2287149zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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