Option surface statistics with applications

DOI10.1142/S0219024922500248MaRDI QIDQ5048581zbMATH OpenFDO

Authors Dilip B. Madan, K.-H. Wang

Publication date 16 November 2022

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

Full work available at URL https://doi.org/10.1142/S0219024922500248

zbMATH Keywords

beta distributionsbilateral gammaBrownian subordinationCGMY modelSato processself-decomposabletempered stable

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternative models for stock price dynamics.
• Bilateral gamma distributions and processes in financial mathematics
• Elementare Theorie der konvexen Polyeder
• High dimensional Markovian trading of a single stock
• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 1724296 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Hyperbolic distributions in finance
• Infinitely Divisible Laws Associated with Hyperbolic Functions
• Lévy processes, polynomials and martingales
• Measuring and monitoring the efficiency of markets
• Option implied VIX, skew and kurtosis term structures
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Option pricing using variance gamma Markov chains
• Post-'87 crash fears in the S\&P 500 futures option market
• Processes of normal inverse Gaussian type
• Quadratic variation, models, applications and lessons
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• Self-similarity in long-horizon returns
• Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
• Statistical methods in finance
• Stochastic volatility, jumps and hidden time changes
• THE RANGE OF TRADED OPTION PRICES
• The Variance Gamma Process and Option Pricing

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