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

DOI10.1080/14697688.2021.1998585MaRDI QIDQ5079360zbMATH OpenOpenAlexWikidataFDO

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

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

(4)

• 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
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Gram-Charlier processes and applications to option pricing

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