Stochastic Volatility for Lévy Processes
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- 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?)
- 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 pricing of options and corporate liabilities
- The Variance Gamma Process and Option Pricing
- Time changes for Lévy processes
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(only showing first 100 items - show all)- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes
- Closed-form valuations of basket options using a multivariate normal inverse Gaussian model
- Subordination, self-similarity, and option pricing
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Sequential calibration of options
- A tale of two volatilities
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- American option valuation under time changed tempered stable Lévy processes
- Volatility smile as relativistic effect
- Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
- A general framework for time-changed Markov processes and applications
- Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns
- A multiscale extension of the Margrabe formula under stochastic volatility
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
- Turbo warrants under hybrid stochastic and local volatility
- Some properties of the one-dimensional subordinated stable model
- Tangent Lévy market models
- Variance swaps on time-changed Lévy processes
- Arbitrage and completeness in financial markets with given N-dimensional distributions
- Options pricing with time changed Lévy processes under imprecise information
- Stochastic volatility, jumps and hidden time changes
- A spectral estimation of tempered stable stochastic volatility models and option pricing
- Hedging for the long run
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options
- Smiles \& smirks: volatility and leverage by jumps
- On stochastic control for time changed Lévy dynamics
- Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
- Multigrid method for pricing European options under the CGMY process
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- Tempered fractional order compartment models and applications in biology
- Arbitrage-free interpolation of call option prices
- Asian options pricing in Hawkes-type jump-diffusion models
- Space-time fractional stochastic partial differential equations with Lévy noise
- Itô's formula for Gaussian processes with stochastic discontinuities
- RBF methods in a stochastic volatility framework for Greeks computation
- Collocation methods for terminal value problems of tempered fractional differential equations
- On exact and asymptotic formulas for the distribution of the integral of a squared Brownian motion with drift
- Additive logistic processes in option pricing
- Modelling tail risk with tempered stable distributions: an overview
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes
- Arbitrage-free market models for option prices: the multi-strike case
- Calculating the index of volatility in inhomogeneous Levy models
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
- Parameter estimation for ARTFIMA time series
- The asymptotic behaviour of fractional lattice systems with variable delay
- Valuation of an option using non-parametric methods
- Numerical approximations for the tempered fractional Laplacian: error analysis and applications
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
- Pricing Parisian option under a stochastic volatility model
- Malliavin calculus approach to statistical inference for Lévy driven SDE's
- Testing for pure-jump processes for high-frequency data
- The fine structure of equity-index option dynamics
- Lévy processes driven by stochastic volatility
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
- On CSCS-based iteration method for tempered fractional diffusion equations
- Dimension reduction for pricing options under multidimensional Lévy processes
- Numerical simulation of a finite moment log stable model for a European call option
- A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
- BSDEs driven by time-changed Lévy noises and optimal control
- Efficient learning via simulation: a marginalized resample-move approach
- Pricing average options under time-changed Lévy processes
- Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
- Static versus dynamic hedges: an empirical comparison for barrier options
- On a class of Lévy processes
- Testing for diffusion in a discretely observed semimartingale
- On a Heath-Jarrow-Morton approach for stock options
- Forward equations for option prices in semimartingale models
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect
- Activity signature functions for high-frequency data analysis
- Probing option prices for information
- An iterative splitting method for pricing European options under the Heston model
- Closed-form formulae for European options under three-factor models
- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
- On the estimation of regime-switching Lévy models
- Bias reduction in spot volatility estimation from options
- Foreign exchange options on Heston-CIR model under Lévy process framework
- Performance of advanced stock price models when it becomes exotic: an empirical study
- Time changes for Lévy processes
- 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
- Analysis of Fourier transform valuation formulas and applications
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
- Leveraged Lévy processes as models for stock prices
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Multivariate subordination of Markov processes with financial applications
- Expectations of functions of stochastic time with application to credit risk modeling
- On valuation with stochastic proportional hazard models in finance
- Markov processes and generalized Schrödinger equations
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