Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
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- Equity correlations implied by index options: estimation and model uncertainty analysis
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- scientific article; zbMATH DE number 1114380 (Why is no real title available?)
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- A moment matching market implied calibration
- Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
- Characteristic functions and option valuation in a Markov chain market
- Multivariate Lévy models: calibration and pricing
- A splitting strategy for the calibration of jump-diffusion models
- Spectral estimation of the fractional order of a Lévy process
- Spectral calibration of exponential Lévy models
- Specification tests of calibrated option pricing models
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- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
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