Zobrazeno 1 - 8
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pro vyhledávání: '"Coste, Cyril"'
Publikováno v:
Fractional calculus and applied analysis 21(4), 2018, 981-1004
In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidly convergent double-series. The series formula can be obtained from th
Externí odkaz:
http://arxiv.org/abs/1712.04990
Regularization and analytic option pricing under $\alpha$-stable distribution of arbitrary asymmetry
We consider a non-Gaussian option pricing model, into which the underlying log-price is assumed to be driven by an $\alpha$-stable distribution. We remove the a priori divergence of the model by introducing a Mellin regularization for the L\'evy prop
Externí odkaz:
http://arxiv.org/abs/1611.04320
We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in $\mathbb{C}^n$ and its connection to residue expansion or evaluation of Laplace integrals. These mathematic
Externí odkaz:
http://arxiv.org/abs/1611.03239
We establish an explicit pricing formula for the class of L\'evy-stable models with maximal negative asymmetry (Log-L\'evy model with finite moments and stability parameter $1<\alpha\leq 2$) in the form of rapidly converging series. The series is obt
Externí odkaz:
http://arxiv.org/abs/1609.00987
In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the "StressVaR" (SVaR). Developed to evaluate the risk of hedge funds, the SVaR appears to be applicable to a wide range of investments. Its principle i
Externí odkaz:
http://arxiv.org/abs/0911.4030
Akademický článek
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Autor:
COSTE, CYRIL1 cyril.coste@riskdata.com, DOUADY, RAPHAËL2 raphael.douady@riskdata.com, ZOVKO, ILIJA I.3 zovko@santafe.edu
Publikováno v:
Journal of Alternative Investments. Winter2011, Vol. 13 Issue 3, p10-23. 14p.
Publikováno v:
CFA Digest. May2011, Vol. 41 Issue 2, p78-80. 3p.