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

DOI10.1080/14697680902748506zbMATH Open1188.91212OpenAlexW2129318400MaRDI QIDQ3404096FDOQ3404096

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

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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)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
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• Time Change Representation of Stochastic Integrals
• The impact of fat tailed returns on asset allocation
• Portfolio selection with stable distributed returns
• Option pricing for a logstable asset price model
• Value-at-risk and asset allocation with stable return distributions

Cited In (14)

• Title not available (Why is that?)
• A subdiffusive stochastic volatility jump model
• Brownian–Laplace Motion and Its Use in Financial Modelling
• Leveraged Lévy processes as models for stock prices
• Rates for branching particle approximations of continuous-discrete filters
• Derivatives pricing with marked point processes using tick-by-tick data
• Title not available (Why is that?)
• Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
• Monte Carlo option pricing for tempered stable (CGMY) processes
• 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
• Modeling of financial processes with a space-time fractional diffusion equation of varying order
• Options pricing with time changed Lévy processes under imprecise information
• Option pricing in an exponential mixedts Lévy process

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