SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Spectral calibration of exponential Lévy models · Study

ArticleShelves

ArticleSpectral calibration of exponential Lévy models

Denis Vital'evich Belomestny2006

OA

Articlegreen2006

Spectral calibration of exponential Lévy models

Denis Vital'evich Belomestny · Markus Reiß

75 citations·0/0 files stored·Finance and Stochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Numerical methods in inverse problems

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 75 citations exist upstream.

References

1976Option pricing when underlying stock returns are discontinuous 2003Financial Modelling with Jump Processes 1978Prices of State-Contingent Claims Implicit in Option Prices 1999Option valuation using the fast Fourier transform 2002A Jump-Diffusion Model for Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 2003Affine processes and applications in finance 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model

Cited by

2009Spectral estimation of the fractional order of a Lévy process 2019Nonparametric spot volatility from options 2007Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices 2010MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES 2010Estimation of the characteristics of a Lévy process observed at arbitrary frequency 2009Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process

Related works

Explore the map →

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

2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansionsarticle · 6 shared references 2004Non-parametric calibration of jump–diffusion option pricing modelsarticle · 6 shared references 2005Wavelet Galerkin pricing of American options on Lévy driven assetsarticle · 6 shared references 2010Pricing and Hedging in Exponential Lévy Models: Review of Recent Resultschapter · 6 shared references 2010TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELINGarticle · 6 shared references 2009A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processesarticle · 6 shared references

Details

Year2006

Typearticle

Published2006-10-25

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations75

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s00780-006-0021-5

openalex_workW2167569669

Links

Imported from OpenAlex (CC0) — nothing here is generated.