Option pricing with time-changed Lévy processes

In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct two empirical studies to compare their performance to other processes that have been used in the literature.

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Year of publication:	2013
Authors:	Klingler, Sven ; Kim, Young Shin ; Rachev, Svetlozar T. ; Fabozzi, Frank J.
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 23.2013, 15, p. 1231-1238
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010690552