Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance

DOI10.1080/14697680902748506MaRDI QIDQ3404096zbMATH OpenOpenAlexFDO

Authors Álvaro Cartea, S. D. Howison

Publication date 5 February 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10016/12186

zbMATH Keywords

commodity markethedging techniquesLévy processcommodity market prices

Mathematics Subject Classification ID

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

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• Option pricing for a logstable asset price model
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• Time Change Representation of Stochastic Integrals
• Value-at-risk and asset allocation with stable return distributions

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(14)

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• Brownian–Laplace Motion and Its Use in Financial Modelling
• Rates for branching particle approximations of continuous-discrete filters
• Leveraged Lévy processes as models for stock prices
• Derivatives pricing with marked point processes using tick-by-tick data
• scientific article; zbMATH DE number 2118533 (Why is no real title available?)
• Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
• Monte Carlo option pricing for tempered stable (CGMY) processes
• Modeling of financial processes with a space-time fractional diffusion equation of varying order
• A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing
• Option pricing for symmetric Lévy returns with applications
• Options pricing with time changed Lévy processes under imprecise information
• Option pricing in an exponential mixedts Lévy process

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