Risk adjustments of option prices under time-changed dynamics

DOI10.1080/14697688.2013.825049MaRDI QIDQ2879017zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
• Option pricing impact of alternative continuous-time dynamics
• Stochastic time changes in catastrophe option pricing
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• Pricing of the time-change risks
• APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
• OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
• Option pricing under time interval driven model

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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§
• scientific article; zbMATH DE number 5284332 (Why is no real title available?)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications

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