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Option Pricing Using Variance Gamma Markov Chains · Study

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ArticleOption Pricing Using Variance Gamma Markov Chains

Mikhail Konikov2002

Article2002

Option Pricing Using Variance Gamma Markov Chains

Mikhail Konikov · Dilip B. Madan

114 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976Option pricing when underlying stock returns are discontinuous 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1997Empirical Performance of Alternative Option Pricing Models

Cited by

2006Option Pricing for Pure Jump Processes with Markov Switching Compensators 2013Option pricing under regime-switching jump–diffusion models 2009Sato processes and the valuation of structured products 2012FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS 2012Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes 2009

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2002Stochastic Volatility for Levy Processespreprint · 16 shared references 2003Stochastic Volatility for Lévy Processesarticle · 12 shared references 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 12 shared references 2006SELF‐DECOMPOSABILITY AND OPTION PRICINGarticle · 12 shared references 2002Pure jump Lévy processes for asset price modellingarticle · 12 shared references 2005Modeling Financial Security Returns Using Levy Processespreprint · 12 shared references

Details

Year2002

Typearticle

Published2002-01-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations114

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1013816400834

openalex_workW1542274658

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First-passage probability, jump models, and intra-horizon risk

2007Fourier Space Time-Stepping for Option Pricing With Levy Models

2016Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy