Stochastic Volatility for Lévy Processes
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Cites work
- scientific article; zbMATH DE number 3574680 (Why is no real title available?)
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 206027 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Option pricing when underlying stock returns are discontinuous
- Post-'87 crash fears in the S\&P 500 futures option market
- Processes of normal inverse Gaussian type
- The Variance Gamma Process and Option Pricing
- The pricing of options and corporate liabilities
- Time changes for Lévy processes
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(only showing first 100 items - show all)- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
- Arbitrage-free smoothing of the implied volatility surface
- An iterative splitting method for pricing European options under the Heston model
- Bias reduction in spot volatility estimation from options
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Structure-preserving equivalent martingale measures for \(\mathcal H\)-SII models
- A comprehensive mathematical approach to exotic option pricing
- Convergence analysis of a LDG method for tempered fractional convection–diffusion equations
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
- A multivariate Lévy process model with linear correlation
- Pricing Asian options in affine GARCH models
- Turbo warrants under hybrid stochastic and local volatility
- Some properties of the one-dimensional subordinated stable model
- The impact of jump distributions on the implied volatility of variance
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
- Analysis of Fourier transform valuation formulas and applications
- On exact and asymptotic formulas for the distribution of the integral of a squared Brownian motion with drift
- Modelling tail risk with tempered stable distributions: an overview
- Parameter estimation for ARTFIMA time series
- The asymptotic behaviour of fractional lattice systems with variable delay
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Arbitrage-free market models for option prices: the multi-strike case
- Additive processes with bilateral gamma marginals
- Variation and share-weighted variation swaps on time-changed Lévy processes
- Itô's formula for Gaussian processes with stochastic discontinuities
- Tempered stable processes with time-varying exponential tails
- Clustered Lévy processes and their financial applications
- Series representations for multivariate time-changed Lévy models
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
- A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
- Arbitrage-Free Neural-SDE Market Models
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
- The numerical strategy of tempered fractional derivative in European double barrier option
- Building multivariate Sato models with linear dependence
- Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
- Transient anomalous sub-diffusion on bounded domains
- Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations
- Some pricing tools for the variance gamma model
- Tempered fractional order compartment models and applications in biology
- Information arrival as price jumps
- Realized Laplace transforms for pure-jump semimartingales
- American option valuation under time changed tempered stable Lévy processes
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
- A non-Gaussian option pricing model with skew
- Option valuation with infinitely divisible distributions
- MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
- Space-time fractional stochastic partial differential equations with Lévy noise
- Financial activity time
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Probability weighting and default risk: a possible explanation for distressed stock puzzles
- Equilibrium asset and option pricing under jump diffusion
- Volatility smile as relativistic effect
- Numerical approximations for the tempered fractional Laplacian: error analysis and applications
- Tempered fractional calculus
- Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- Statistical estimation of Lévy-type stochastic volatility models
- A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
- Inference in Lévy-type stochastic volatility models
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Pricing vulnerable lookback options using Laplace transforms
- State price density estimation with an application to the recovery theorem
- A second order numerical scheme for fractional option pricing models
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Quadratic hedging in affine stochastic volatility models
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- Forward equations for option prices in semimartingale models
- Tangent Lévy market models
- Option pricing and hedging under a stochastic volatility Lévy process model
- The implied volatility smirk
- Diffusion approximation of Lévy processes with a view towards finance
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- A spectral estimation of tempered stable stochastic volatility models and option pricing
- Multigrid method for pricing European options under the CGMY process
- Additive logistic processes in option pricing
- Numerical simulation of a finite moment log stable model for a European call option
- A finite element discretization method for option pricing with the Bates model
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- Risk adjustments of option prices under time-changed dynamics
- Foreign exchange options on Heston-CIR model under Lévy process framework
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps
- Meromorphic Lévy processes and their fluctuation identities
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Hölder continuity of solutions of second-order non-linear elliptic integro-differential equations
- From local volatility to local Lévy models
- On a class of Lévy processes
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- Detecting and repairing arbitrage in traded option prices
- Leveraged Lévy processes as models for stock prices
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