Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

DOI10.1080/14697688.2021.1998585zbMATH Open1490.91204OpenAlexW4200484485WikidataQ115549847 ScholiaQ115549847MaRDI QIDQ5079360FDOQ5079360

Authors: Mogens Bladt, Søren Asmussen 

Publication date: 27 May 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2021.1998585

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zbMATH Keywords

tempered stable distributionnormal inverse Gaussian distributionBell polynomialscumulantsMarkov additive processMarkov-modulationrisk neutralityCGMY processeuropean call optionFaà di Bruno's formulaintegrated CIR processmatrix-exponentials

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited In (2)

• On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance

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