The relative entropy in CGMY processes and its applications to finance
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DOI: 10.1007/s00186-006-0097-x
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References listed on IDEAS
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
- S. R. Hurst & Eckhard Platen & S. T. Rachev, 1999. "Option pricing for a logstable asset price model," Published Paper Series 1999-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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Cited by:
- Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012. "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, vol. 15(1), pages 81-97, April.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
- João Guerra & Manuel Guerra & Zachary Polaski, 2019. "Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market," Working Papers REM 2019/74, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018.
"Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
- Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
- Abdou Kélani & François Quittard-Pinon, 2017. "Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 209-238, March.
- Young Shin Kim & Hyun-Gyoon Kim, 2024. "Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence," Papers 2402.17919, arXiv.org, revised Mar 2024.
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More about this item
Keywords
Incomplete market; CGMY process; Relative entropy; Esscher transform; Minimal entropy martingale measure; 60E07; 60E10; 60G44; 60G51; 60G52; 60J75; 91B24; 94A17;All these keywords.
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