Risk adjustments of option prices under time-changed dynamics
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Publication:2879017
DOI10.1080/14697688.2013.825049zbMath1294.91178MaRDI QIDQ2879017
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
Lévy processes; asset pricing; stochastic volatility; calibration; analytical approximation; contingent pricing; affine models; futures pricing; price-risk adjustments
60G51: Processes with independent increments; Lévy processes
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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