FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS

DOI10.1142/S0219024900000073zbMath1154.91465arXivcond-mat/9710197MaRDI QIDQ3523549

Andrew Matacz

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9710197

zbMATH Keywords

random walksLevy processes, scaling theory, option pricing

Mathematics Subject Classification ID

Related Items

Exotic options under Lévy models: an overview ⋮ Derivative pricing with non-linear Fokker-Planck dynamics ⋮ A stochastic-statistical residential burglary model with independent Poisson clocks ⋮ Investigation of non-Gaussian effects in the Brazilian option market ⋮ Superstatistics with cut-off tails for financial time series ⋮ Approximations for the distributions of bounded variation Lévy processes ⋮ Modeling and simulation of financial returns under non-Gaussian distributions ⋮ Desperately searching for something ⋮ Early exercise boundary and option prices in Lévy driven models ⋮ A Stochastic-Statistical Residential Burglary Model with Finite Size Effects ⋮ Boundary behavior of harmonic functions for truncated stable processes ⋮ PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS ⋮ WHY THE RETURN NOTION MATTERS ⋮ Crime modeling with truncated Lévy flights for residential burglary models ⋮ A generalized Fourier transform approach to risk measures ⋮ Valuing Bermudan options when asset returns are Lévy processes ⋮ Weighted Poincaré inequality and heat kernel estimates for finite range jump processes ⋮ PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS ⋮ Truncated Lévy walks and an emerging market economic index ⋮ Ergodic properties of anomalous diffusion processes ⋮ OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS ⋮ Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in \(C^{1, \eta}\) open sets ⋮ Pricing exotic options in a path integral approach ⋮ Global heat kernel estimates for symmetric jump processes ⋮ Symmetric jump processes and their heat kernel estimates ⋮ A Novel Asymmetric Distribution with Power Tails ⋮ The effect of non-ideal market conditions on option pricing ⋮ A path integral way to option pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

This page was built for publication: FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS