Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression

DOI10.1016/J.JKSS.2010.10.001MaRDI QIDQ458120zbMATH OpenOpenAlexFDO

Authors Seongjoo Song, Jaehong Jeong, Jongwoo Song

Publication date 30 September 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2010.10.001

zbMATH Keywords

asymptotic expansionLévy processnonlinear regressionoption pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) General nonlinear regression (62J02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Asymptotic option pricing under a pure jump process
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Density Estimation of Lévy Measures for Discretely Observed Diffusion Processes with Jumps
• Empirical properties of asset returns: stylized facts and statistical issues
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• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Hyperbolic distributions in finance
• Integrated insurance risk models with exponential Lévy investment
• Lévy density estimation via information projection onto wavelet subspaces
• Nonparametric estimation for Lévy models based on discrete-sampling
• Nonparametric estimation for Lévy processes from low-frequency observations
• Nonparametric estimation of time-changed Lévy models under high-frequency data
• Optimal investment for insurers when the stock price follows an exponential Lévy process
• Processes of normal inverse Gaussian type
• Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
• Volatility estimators for discretely sampled Lévy processes

Cited in

(3)

• Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis
• Asymptotic option pricing under a pure jump process
• Option pricing for historical filtering on Levy processes driven by GARCH

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