Option surface statistics with applications
Year of publication: |
2022
|
---|---|
Authors: | Madan, Dilip B. ; Wang, King |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 6, Art.-No. 2250024, p. 1-16
|
Subject: | beta distributions | Bilateral gamma | Brownian subordination | Sato process | self-decomposable | tempered stable | the CGMY model |
-
Arbitrage free approximations to candidate volatility surface quotations
Madan, Dilip B., (2019)
-
Arbitrage free approximations to candidate volatility surface quotations
Madan, Dilip B., (2019)
-
Additive processes with bilateral gamma marginals
Madan, Dilip B., (2020)
- More ...
-
Madan, Dilip B., (2021)
-
Strike asymptotics for Laplace implied volatilities
Madan, Dilip B., (2018)
-
Measuring and monitoring the efficiency of markets
Madan, Dilip B., (2017)
- More ...