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Pricing Forward Start Options in Models Based on (Time-Changed) Levy Processes
Language: en
Pages: 0
Authors: Philipp Beyer
Categories:
Type: BOOK - Published: 2009 - Publisher:

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Options depending on the forward skew are very popular. One such option is the forward starting call option - the basic building block of a cliquet option. Wide
Time-Changed Levy Process and Option Pricing
Language: en
Pages: 35
Authors: Peter Carr
Categories:
Type: BOOK - Published: 2001 - Publisher:

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We apply stochastic time change to Levy processes to generate a wide variety of tractable option pricing models. In particular, we prove a fundamental theorem t
Pricing Average Options Under Time-Changed Levy Processes
Language: en
Pages: 31
Authors: Akira Yamazaki
Categories:
Type: BOOK - Published: 2014 - Publisher:

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This paper presents an approximate formula for pricing average options when the underlying asset price is driven by time-changed Levy processes. Time-changed Le
The Potential Approach to the Term Structure of Interest Rates and Bond Pricing, and Time-changed Lévy Processes and European Option Pricing
Language: en
Pages: 226
Switching Levy Models in Continuous Time
Language: en
Pages: 39
Authors: Kyriakos Chourdakis
Categories:
Type: BOOK - Published: 2008 - Publisher:

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This paper introduces a general regime switching Levy process, and constructs the characteristic function in closed form. Correlations between the underlying Ma