Option pricing with time-changed Lévy processes
Autor: | Sven Klingler, Young Shin Kim, Frank J. Fabozzi, Svetlozar T. Rachev |
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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: | |
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