From Local Volatility to Local Levy Models
Year of publication: |
2004-10
|
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Authors: | Yor, Marc ; Madan, Dilip B. ; Carr, Peter ; Geman, Hélyette |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Levy processes | Derivatives securities | Random walks (mathematics) | Volatility (finance) | Options (finance) |
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From Local Volatility to Local Levy Models.
Yor, Marc, (2004)
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Hamon, Jacques, (2013)
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Su, Xia, (2006)
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Self-decomposability and option pricing
Yor, Marc, (2007)
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Stochastic Volatility for Levy Processes
Geman, Hélyette, (2003)
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The Fine Structure of Asset Returns: An Empirical Investigation
Carr, Peter, (2002)
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