In this paper, we develop a multivariate risk-neutral Levy process model and discuss its applicability in the context of the volatility smile of multiple assets. Our formulation is based upon a linear combination of independent univariate Levy processes and can easily be calibrated to a set of...

The purpose of this paper is to derive the Greeks formulas of Delta, Gamma, Vega and Theta for derivative securities with both continuous and discontinuous payoff structures under asset price dynamics described by stable and tempered stable processes with presentation of their practical...

In this article, we consider a modification of the Karatzas--Pikovsky model of insider trading. Specifically, we suppose that the insider agent influences the long/medium-term evolution of Black--Scholes type model through the drift of the stochastic differential equation. We say that the...