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From Characteristic Function to Distribution Function: A Simple Framework for the Theory

Citations

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Cited by:

  1. Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
  2. Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
  3. Simon A. Broda & Raymond Kan, 2016. "On distributions of ratios," Biometrika, Biometrika Trust, vol. 103(1), pages 205-218.
  4. Matieyendou Lamboni, 2023. "On Exact Distribution for Multivariate Weighted Distributions and Classification," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-26, March.
  5. Forrester, Peter J., 2024. "On the gamma difference distribution," Statistics & Probability Letters, Elsevier, vol. 211(C).
  6. Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
  7. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
  8. Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2020. "A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics," Papers 2002.10194, arXiv.org.
  9. Wei W. Simi & Xiaoli Wang, 2013. "Time‐changed Lévy jump processes with GARCH model on reverse convertibles," Review of Financial Economics, John Wiley & Sons, vol. 22(4), pages 206-212, November.
  10. Victor Olkhov, 2023. "Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions," Papers 2309.02447, arXiv.org, revised Apr 2024.
  11. Victor Olkhov, 2023. "Market-Based Probability of Stock Returns," Papers 2302.07935, arXiv.org, revised Dec 2024.
  12. Victor Olkhov, 2022. "Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model," Papers 2204.07506, arXiv.org, revised Mar 2024.
  13. Olkhov, Victor, 2022. "Market-Based Price Autocorrelation," MPRA Paper 120288, University Library of Munich, Germany, revised 26 Feb 2024.
  14. Peter Reinhard Hansen & Chen Tong, 2024. "Convolution-t Distributions," Papers 2404.00864, arXiv.org.
  15. Oleksandr Zhylyevskyy, 2010. "A fast Fourier transform technique for pricing American options under stochastic volatility," Review of Derivatives Research, Springer, vol. 13(1), pages 1-24, April.
  16. Simi, Wei W. & Wang, Xiaoli, 2013. "Time-changed Lévy jump processes with GARCH model on reverse convertibles," Review of Financial Economics, Elsevier, vol. 22(4), pages 206-212.
  17. Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
  18. Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
  19. Zhang, Le & Schmidt, Wolfgang M., 2016. "An approximation of small-time probability density functions in a general jump diffusion model," Applied Mathematics and Computation, Elsevier, vol. 273(C), pages 741-758.
  20. Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 113096, University Library of Munich, Germany.
  22. Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi, 2013. "Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics," Research Paper Series 327, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Nati Twito & Moshe Idan & Jason L. Speyer, 2021. "Maximum Conditional Probability Stochastic Controller for Linear Systems with Additive Cauchy Noises," Journal of Optimization Theory and Applications, Springer, vol. 191(2), pages 393-414, December.
  24. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, July-Dece.
  25. Zhylyevskyy, Oleksandr, 2012. "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications," Staff General Research Papers Archive 35559, Iowa State University, Department of Economics.
  26. Olkhov, Victor, 2022. "Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model," MPRA Paper 112255, University Library of Munich, Germany.
  27. Carl Chiarella & Susanne Griebsch & Boda Kang, 2013. "Investigating Time-Efficient Methods to Price Compound Options in the Heston Model," Research Paper Series 328, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Mijanović, Andjela & Popović, Božidar V. & Witkovský, Viktor, 2023. "A numerical inversion of the bivariate characteristic function," Applied Mathematics and Computation, Elsevier, vol. 443(C).
  29. Zhiwei Su & Xingchun Wang, 2019. "Pricing executive stock options with averaging features under the Heston–Nandi GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1056-1084, September.
  30. Susanne Griebsch & Uwe Wystup, 2011. "On the valuation of fader and discrete barrier options in Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 693-709.
  31. Reza Aghazadeh Ayoubi & Umberto Spagnolini, 2022. "Performance of Dense Wireless Networks in 5G and beyond Using Stochastic Geometry," Mathematics, MDPI, vol. 10(7), pages 1-30, April.
  32. Olkhov, Victor, 2023. "The Market-Based Statistics of “Actual” Returns of Investors," MPRA Paper 116896, University Library of Munich, Germany.
  33. Susanne Griebsch, 2013. "The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques," Review of Derivatives Research, Springer, vol. 16(2), pages 135-165, July.
  34. Härdle, Wolfgang Karl & Trimborn, Simon, 2015. "CRIX or evaluating blockchain based currencies," SFB 649 Discussion Papers 2015-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  35. repec:hum:wpaper:sfb649dp2016-021 is not listed on IDEAS
  36. Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
  37. Ziming Dong & Dan Tang & Xingchun Wang, 2023. "Pricing vulnerable basket spread options with liquidity risk," Review of Derivatives Research, Springer, vol. 26(1), pages 23-50, April.
  38. Wang, Xingchun, 2022. "Pricing vulnerable options with stochastic liquidity risk," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  39. Pavel V. Shevchenko, 2010. "Calculation of aggregate loss distributions," Papers 1008.1108, arXiv.org.
  40. Victor Olkhov, 2021. "Theoretical Economics and the Second-Order Economic Theory. What is it?," Papers 2112.04566, arXiv.org, revised Mar 2024.
  41. Yin Shu & Qianmei Feng & David W. Coit, 2015. "Life distribution analysis based on Lévy subordinators for degradation with random jumps," Naval Research Logistics (NRL), John Wiley & Sons, vol. 62(6), pages 483-492, September.
  42. Naman Krishna Pande & Puneet Pasricha & Arun Kumar & Arvind Kumar Gupta, 2024. "European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning," Papers 2410.10474, arXiv.org.
  43. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011, January-A.
  44. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
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