Option pricing with time-changed Lévy processes

Autor:	Sven Klingler, Young Shin Kim, Frank J. Fabozzi, Svetlozar T. Rachev
Rok vydání:	2013
Předmět:	Levy processes Economics and Econometrics Tempered stable distributions Stochastic volatility Option pricing Financial economics Black–Scholes model Lévy process Stochastic-time change Empirical research Lévy processes Valuation of options Econometrics Economics Finite difference methods for option pricing Finance
Zdroj:	Applied Financial Economics. 23:1231-1238
ISSN:	1466-4305 0960-3107
Popis:	In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct two empirical studies to compare their performance to other processes that have been used in the literature.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd0343097919b4430907fc22b103b291 https://doi.org/10.1080/09603107.2013.807024 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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