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Time-changed Lévy processes and option pricing · Study

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ArticleTime-changed Lévy processes and option pricing

Peter Carr2003

Article2003

Time-changed Lévy processes and option pricing

Peter Carr · Liuren Wu

674 citations·0/0 files stored·Journal of Financial Economics

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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 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1999Coherent Measures of Risk 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1976Option pricing when underlying stock returns are discontinuous 1987Expected stock returns and volatility

Cited by

2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 2003The Finite Moment Log Stable Process and Option Pricing 2006Stochastic volatility with leverage: Fast and efficient likelihood inference 2004Disentangling diffusion from jumps 2007Stochastic skew in currency options☆2004Option pricing by transform methods: extensions, unification and error control

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 22 shared references 2010The Econometrics of Option Pricingchapter · 22 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 21 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 21 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 20 shared references 2005Volatility Forecastingreport · 20 shared references

Details

Year2003

Typearticle

Published2003-09-03

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations674

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-405x(03)00171-5

openalex_workW1983135873

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2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes

2014Crash-neutral currency carry trades