Risk adjustments of option prices under time-changed dynamics

DOI10.1080/14697688.2013.825049zbMATH Open1294.91178OpenAlexW3122776210MaRDI QIDQ2879017FDOQ2879017

Authors: Elisa Nicolato, David Sloth 

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.825049

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• APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
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• Option pricing under time interval driven model

zbMATH Keywords

calibration[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]stochastic volatilityasset pricinganalytical approximationcontingent pricingaffine modelsfutures pricingprice-risk adjustments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (5)

• Option pricing impact of alternative continuous-time dynamics
• Changes of numéraire, changes of probability measure and option pricing
• The economics of time as it is embedded in the prices of options§
• Title not available (Why is that?)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications

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