Adjusting Exponential Levy Models Towards the Simultaneous Calibration of Market Prices for Crash Cliquets

Option calibrated exponential Lévy models are observed to typically overprice crash cliquets. Typical model Lévy tails are then not crash market consistent. A general tail thinning strategy is introduced that may be implemented on a class of parametric Lévy models closed under exponential tilting. Implementation on CGMY leads to the CGAKMY model with thinning function of (1 A|x|)^{-K}. It is observed that this model adjustment can be crash market consistent

Year of publication:	2015
Authors:	Carr, Peter
Other Persons:	Khanna, Ajay (contributor) ; Madan, Dilip B. (contributor)
Publisher:	[2015]: [S.l.] : SSRN

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10013018792

A service of the