Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Gian Luca Tassinari; Michele Leonardo Bianchi
| Year of publication: |
2014
|
|---|---|
| Authors: | Tassinari, Gian Luca ; Bianchi, Michele Leonardo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 4, p. 1-34
|
| Subject: | Volatility smile | asset price dynamics | time-changed Brownian motion | multivariate non-Gaussian processes | multivariate Esscher transform | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Multivariate Analyse | Multivariate analysis | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010391513