scientific article

Publication date: 3 April 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Lévy processes price processes generalized hyperbolic distributions option pricing formula Black-Scholes prices normal inverse Gaussian distributions

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (59)

Exotic options under Lévy models: an overview ⋮ Modeling high-frequency non-homogeneous order flows by compound Cox processes ⋮ Volatility smile as relativistic effect ⋮ OPTION SURFACE STATISTICS WITH APPLICATIONS ⋮ Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes ⋮ Stein's method in two limit theorems involving the generalized inverse Gaussian distribution ⋮ Additive subordination and its applications in finance ⋮ Spectral estimation of the fractional order of a Lévy process ⋮ Tail-risk protection trading strategies ⋮ On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality ⋮ Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation ⋮ Infinite divisibility for stochastic processes and time change ⋮ Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ A Stein characterisation of the generalized hyperbolic distribution ⋮ Numerical computation of first-passage times of increasing Lévy processes ⋮ Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Exposure valuations and their capital requirements ⋮ Financial activity time ⋮ On normal variance-mean mixtures as limit laws for statistics with random sample sizes ⋮ The economics of time as it is embedded in the prices of options§ ⋮ NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING ⋮ SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS ⋮ A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk ⋮ Semiparametric Gaussian variance-mean mixtures for heavy-tailed and skewed data ⋮ Pricing Asian options in a semimartingale model ⋮ On bounds for the mode and median of the generalized hyperbolic and related distributions ⋮ On the duality principle in option pricing: semimartingale setting ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process ⋮ MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS ⋮ What is the natural scale for a Lévy process in modelling term structure of interest rates? ⋮ Additive Processes with Bilateral Gamma Marginals ⋮ Distributional bounds for portfolio risk with tail dependence ⋮ Pricing Asian options with stochastic volatility ⋮ A semi-parametric approach to risk management ⋮ Option pricing with discrete time jump processes ⋮ Fitting bivariate cumulative returns with copulas ⋮ TWO PROCESSES FOR TWO PRICES ⋮ Multivariate distribution models with generalized hyperbolic margins ⋮ Numerical methods for Lévy processes ⋮ Numerical method for estimating multivariate conditional distributions ⋮ Some properties of the multivariate generalized hyperbolic laws ⋮ On the Pricing of American Options in Exponential Lévy Markets ⋮ A general control variate method for option pricing under Lévy processes ⋮ The quintessential option pricing formula under Lévy processes ⋮ Subordination, self-similarity, and option pricing ⋮ Multiscale local change point detection with applications to value-at-risk ⋮ Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions ⋮ Estimation of Correlation Between Latent Processes ⋮ Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model ⋮ A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets ⋮ Equivalent measure changes for subordinate diffusions ⋮ Implied price processes anchored in statistical realizations ⋮ High dimensional Markovian trading of a single stock ⋮ Dependence calibration and portfolio fit with factor-based subordinators ⋮ Strategic long-term financial risks: single risk factors ⋮ Markov chain Monte Carlo methods for stochastic volatility models.

This page was built for publication: