Additive subordination and its applications in finance
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Publication:309162
DOI10.1007/S00780-016-0300-8zbMATH Open1372.60110OpenAlexW2239185238MaRDI QIDQ309162FDOQ309162
Authors: Lingfei Li, Rafael Mendoza-Arriaga, Jing Li 
Publication date: 7 September 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-016-0300-8
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- scientific article; zbMATH DE number 1285976
semimartingalesadditive processesBochner's subordinationspread optionstime-inhomogeneous Markov processes
Derivative securities (option pricing, hedging, etc.) (91G20) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Financial applications of other theories (91G80) One-parameter semigroups and linear evolution equations (47D06)
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Cited In (18)
- Option pricing in some non-Lévy jump models
- Modelling electricity prices: a time change approach
- Equivalent measure changes for subordinate diffusions
- Linear credit risk models
- Pure jump models for pricing and hedging VIX derivatives
- Multivariate subordination of Markov processes with financial applications
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- Subordination, self-similarity, and option pricing
- Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
- Parametric inference for discretely observed subordinate diffusions
- Pricing variance swaps under subordinated Jacobi stochastic volatility models
- A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing
- Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
- Additive normal tempered stable processes for equity derivatives and power-law scaling
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Multivariate tempered stable additive subordination for financial models
- Forward or backward simulation? A comparative study
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