Implied Lévy volatility

DOI10.1080/14697680902965548zbMath1181.91310OpenAlexW2162248148MaRDI QIDQ3404095

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

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

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

Related Items (4)

Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ Implied liquidity risk premia in option markets ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE

Cites Work

• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The Pricing of Options and Corporate Liabilities
• Processes of normal inverse Gaussian type
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling

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