Search Results - subject:"time-changed Levy processes"

Short option maturity term structures of skewness and excess kurtosis

Madan, Dilip B.; Wang, King - In: Applied mathematical finance 31 (2024) 1, pp. 37-56

Persistent link: https://www.econbiz.de/10015194418

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Carr, Peter - 2017

The Samp;P 500 index return interacts negatively with its volatility. This paper traces the negative interaction to three distinct economic channels and proposes to disentangle the relative contribution of each channel using Samp;P 500 index options. First, equity volatility increases...

Persistent link: https://www.econbiz.de/10012706677

COS method for option pricing under a regime-switching model with time-changed Lévy processes

Tour, G.; Thakoor, N.; Khaliq, Abdul Q. M.; Tangman, D. Y. - In: Quantitative finance 18 (2018) 4, pp. 673-692

Persistent link: https://www.econbiz.de/10011906458

Leverage effect, volatility feedback, and self-exciting market disruptions

Carr, Peter; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2119-2156

Persistent link: https://www.econbiz.de/10011928991

Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes

Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011455019

Multivariate asset models using Lévy processes and applications

Ballotta, Laura; Bonfiglioli, Efrem - In: The European journal of finance 22 (2016) 13/15, pp. 1320-1350

Persistent link: https://www.econbiz.de/10011715430

Pricing average options under time-changed Lévy processes

Yamazaki, Akira - In: Review of Derivatives Research 17 (2014) 1, pp. 79-111

time-changed Lévy processes. Time-changed Lévy processes are attractive to use for a driving factor of underlying prices … derivatives on time-changed Lévy processes in contrast to standard European derivatives. Our pricing formula is based on the Gram …

Persistent link: https://www.econbiz.de/10010867556