Implied Lévy volatility

DOI10.1080/14697680902965548MaRDI QIDQ3404095zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera, Florence Guillaume, Peter Leoni, Wim Schoutens

Publication date 5 February 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680902965548

zbMATH Keywords

option pricingdeltaMeixner processnormal inverse Gaussian processBlack-Scholes volatilityLévy space volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites work

• A novel pricing method for European options based on Fourier-cosine series expansions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Processes of normal inverse Gaussian type
• The pricing of options and corporate liabilities

Cited in

(5)

• Implied liquidity risk premia in option markets
• Basket option pricing and implied correlation in a one-factor Lévy model
• Cost-efficient payoffs under model ambiguity
• Markets as a counterparty: an introduction to conic finance
• Affordable and adequate annuities with stable payouts: fantasy or reality?

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