Option Pricing in an Exponential Mixedts Lévy Process

In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS that allows the user to calibrate this model using procedures based on loss or likelihood functions

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Year of publication:	2016
Authors:	Mercuri, Lorenzo
Other Persons:	Rroji, Edit (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Annals of Operation Research, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 9, 2015 erstellt
Other identifiers:	10.2139/ssrn.2658390 [DOI]
Classification:	C63 - Computational Techniques ; C88 - Other Computer Software
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013003648