SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications
16 references·2 citing·25 second hop
Simulating Lévy Processes from Their Characteristic Functions and Financial Applications (2012)Simulating Lévy Processes from Their Char…Theory of rational option pricing (2005)Theory of rational option pri…The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Lévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Series Representations of Lévy Processes from the Perspective of Point Processes (2001)Series Representations of Lév…Approximations of small jumps of Lévy processes with a view towards simulation (2001)Approximations of small jumps…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Exact simulation of Ornstein–Uhlenbeck tempered stable processes (2021)Exact simulation of Ornstein–…SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (2019)SINH-ACCELERATION: EFFICIENT …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003The Finite Moment Log Stable Process and Option Pricing517 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
  • 1997The normal inverse gaussian lévy process: simulation and approximation284 cited
  • 2001Series Representations of Lévy Processes from the Perspective of Point Processes

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

240 cited

Cited by

  • 2019SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS26 cited
  • 2021Exact simulation of Ornstein–Uhlenbeck tempered stable processes23 cited