SELF-DECOMPOSABILITY AND OPTION PRICING

DOI10.1111/j.1467-9965.2007.00293.xzbMath1278.91157OpenAlexW2111648184MaRDI QIDQ3446058

Peter Carr, Dilip B. Madan, Hélyette Geman, Marc Yor

Publication date: 8 June 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00293.x

zbMATH Keywords

scaling additive processes Ornstein-Uhlenbeck processes background driving Lévy processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

Related Items

The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX, The extended slash distribution of the sum of two independent logistic random variables, OPTION SURFACE STATISTICS WITH APPLICATIONS, Risk premia in option markets, Saddlepoint approximation for the generalized inverse Gaussian Lévy process, Additive subordination and its applications in finance, Nonlinear equity valuation using conic finance and its regulatory implications, Risk minimization in stochastic volatility models: model risk and empirical performance, Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo, Multifractal scenarios for products of geometric Lévy-based stationary models, Instantaneous portfolio theory, Pure jump models for pricing and hedging VIX derivatives, Additive normal tempered stable processes for equity derivatives and power-law scaling, Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models, Adapted hedging, Quadratic variation, models, applications and lessons, Selfdecomposability and selfsimilarity: a concise primer, Calibration for weak variance-alpha-gamma processes, \(\alpha \)-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes, Towards a \(\Delta\)-Gamma Sato multivariate model, Variational Solutions of the Pricing PIDEs for European Options in Lévy Models, Two sided efficient frontiers at multiple time horizons, Multivariate tempered stable additive subordination for financial models, Some definite integrals arising from selfdecomposable characteristic functions, Conic asset pricing and the costs of price fluctuations, A LÉVY-DRIVEN ORNSTEIN–UHLENBECK PROCESS FOR THE VALUATION OF CREDIT INDEX SWAPTIONS, A fast Monte Carlo scheme for additive processes and option pricing, Noncausal affine processes with applications to derivative pricing, Financial activity time, The economics of time as it is embedded in the prices of options§, Which Urbanik class \(L_k\), do the hyperbolic and the generalized logistic characteristic functions belong to?, The valuation of corporations: a derivative pricing perspective, MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS, A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk, Systemic risk tradeoffs and option prices, Calibration of self-decomposable Lévy models, Option pricing in subdiffusive Bachelier model, Quantile clocks, Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models, Forward-looking portfolio selection with multivariate non-Gaussian models, Dynamic complex hedging in additive markets, EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS, MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES, A generalized hyperbolic model for a risky asset with dependence, MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS, Additive Processes with Bilateral Gamma Marginals, CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES, SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS, OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES, Short Positions, Rally Fears and Option Markets, Extracting market information from equity options with exponential Lévy processes, Filtering Response Directions, Delay geometric Brownian motion in financial option valuation, TWO PROCESSES FOR TWO PRICES, Pricing and hedging basket options to prespecified levels of acceptability, Numerical methods for Lévy processes, The valuation of structured products using Markov chain models, FRACTAL GEOMETRY OF LÉVY-BASED SPATIAL-TEMPORAL RANDOM FIELDS, PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL, Option overlay strategies, Multifractality of products of geometric Ornstein-Uhlenbeck-type processes, Sato Processes in Default Modelling, MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE, ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS, Self-decomposability of weak variance generalised gamma convolutions, A bootstrapping market implied moment matching calibration for models with time-dependent parameters, Subordination, self-similarity, and option pricing, Catastrophic risks and the pricing of catastrophe equity put options, Approximate Option Pricing in the Lévy Libor Model, Building multivariate Sato models with linear dependence, Auto-static for the people: risk-minimizing hedges of barrier options, Smiles \& smirks: volatility and leverage by jumps, Momentum and reversion in risk neutral martingale probabilities, Implied price processes anchored in statistical realizations, Options on realized variance and convex orders, Unbounded liabilities, capital reserve requirements and the taxpayer put option

Cites Work