Time-changed \levy processes and option pricing: a critical comment

Autor:	Fallahgoul, Hasan, Nam, Kihun
Rok vydání:	2019
Předmět:	Quantitative Finance - Mathematical Finance 91G20 91G80
Druh dokumentu:	Working Paper
Popis:	Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their framework hinges on the stopping time property of the time changes. By analyzing the measurability of the time changes with respect to the underlying filtration, we show that all models CW proposed for the time changes fail to satisfy this assumption. Comment: arXiv admin note: text overlap with arXiv:1808.01852
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1907.00149 Zobrazit plný text záznamu View this record from Arxiv