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Empirical Performance of Option Pricing Models Based on Time-Changed Lévy Processes · Study

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PreprintEmpirical Performance of Option Pricing Models Based on Time-Changed Lévy Processes

Achim Dahlbokum2010

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Preprintgreen2010

Empirical Performance of Option Pricing Models Based on Time-Changed Lévy Processes

Achim Dahlbokum

18 citations·0/0 files stored·SSRN Electronic Journal

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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 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 1976The valuation of options for alternative stochastic processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

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2005Modeling Financial Security Returns Using Levy Processespreprint · 19 shared references 2007Chapter 3 Modeling Financial Security Returns Using Lévy Processeschapter · 17 shared references 2003Time-changed Lévy processes and option pricingarticle · 15 shared references 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 15 shared references 2011Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptionspreprint · 14 shared references 2009Stochastic Volatilityother · 14 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1675321

openalex_workW2169318142

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