scientific article; zbMATH DE number 5853093

MaRDI QIDQ3078233zbMATH OpenFDO

Authors Fred Espen Benth, Giulia Di Nunno, Asma Khedher

Publication date 18 February 2011

zbMATH Keywords

density methodLévy processessensitivitiessmall-jump approximation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Time consistency of Lévy models
• Lévy hybrid models. Modelling, evaluation, calibration
• scientific article; zbMATH DE number 1639858
• Stable Lévy diffusion and related model fitting
• Lévy-Ito models in finance
• A risk model driven by Lévy processes
• Robustness for path-dependent volatility models
• Lévy simple structural models
• Hybrid Lévy models: design and computational aspects
• scientific article; zbMATH DE number 1775715

Cited in

(5)

• On the distribution of the Hilbert transform of the local time of a symmetric Lévy process
• Stochastic volatility and dependency in energy markets: multi-factor modelling
• Calculations of greeks for jump diffusion processes
• Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
• Option price asymptotics under a stochastic volatility Lévy model with infinite activity jumps

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3078233)