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Pure jump Levy processes for asset price modelling

Citations

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Cited by:

  1. Sharif Mozumder & Arafatur Rahman, 2016. "Market Risk Of Investment In Us Subprime Crisis: Comparison Of A Pure Diffusion And A Pure Jump Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-17, September.
  2. Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
  3. Beer, Simone & Braun, Alexander & Marugg, Andrin, 2019. "Pricing industry loss warranties in a Lévy–Frailty framework," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 171-181.
  4. Liexin Cheng & Xue Cheng, 2024. "Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants," Papers 2401.03776, arXiv.org, revised Nov 2024.
  5. Korolev, V.Yu. & Chertok, A.V. & Korchagin, A.Yu. & Zeifman, A.I., 2015. "Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes," Applied Mathematics and Computation, Elsevier, vol. 253(C), pages 224-241.
  6. Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
  7. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  8. Carol Alexander & Leonardo Nogueira, 2007. "Model-free price hedge ratios for homogeneous claims on tradable assets," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 473-479.
  9. Mozumder, Sharif & Dempsey, Michael & Kabir, M. Humayun & Choudhry, Taufiq, 2016. "An improved framework for approximating option prices with application to option portfolio hedging," Economic Modelling, Elsevier, vol. 59(C), pages 285-296.
  10. Selçuk BAYRACI, 2017. "Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(612), A), pages 71-82, Autumn.
  11. Yang Li & Yaolei Wang & Taitao Feng & Yifei Xin, 2021. "A New Simplified Weak Second-Order Scheme for Solving Stochastic Differential Equations with Jumps," Mathematics, MDPI, vol. 9(3), pages 1-14, January.
  12. El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
  13. Ata Türkoğlu, 2016. "Normally distributed high-frequency returns: a subordination approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 389-409, March.
  14. Fiorani, Filo, 2004. "Option Pricing Under the Variance Gamma Process," MPRA Paper 15395, University Library of Munich, Germany.
  15. Bilkic, Natasa & Gries, Thomas, 2012. "When to Attack an Oppressive Government?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62031, Verein für Socialpolitik / German Economic Association.
  16. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
  17. Sharif Mozumder & Ghulam Sorwar & Kevin Dowd, 2013. "Option pricing under non-normality: a comparative analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 273-292, February.
  18. Jinghai Shao & Sovan Mitra & Andreas Karathanasopoulos, 2022. "Optimal feedback control of stock prices under credit risk dynamics," Annals of Operations Research, Springer, vol. 313(2), pages 1285-1318, June.
  19. Khaled Salhi, 2017. "Pricing European options and risk measurement under exponential Lévy models — a practical guide," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-36, June.
  20. Hamidreza Maleki Almani & Foad Shokrollahi & Tommi Sottinen, 2024. "Hedging in Jump Diffusion Model with Transaction Costs," Papers 2408.10785, arXiv.org.
  21. Sharif Mozumder & Taufiq Choudhry & Michael Dempsey, 2021. "Option Pricing Model Biases: Bayesian and Markov Chain Monte Carlo Regression Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1287-1305, April.
  22. Claudia Ribeiro & Nick Webber, 2006. "Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 333-352.
  23. Sharif Mozumder & Bakhtear Talukdar & M. Humayun Kabir & Bingxin Li, 2024. "Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 97-133, January.
  24. Augusto Blanc-Blocquel & Luis Ortiz-Gracia & Rodolfo Oviedo, 2023. "Hedging At-the-money Digital Options Near Maturity," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-18, March.
  25. Geman, Hélyette, 2005. "From measure changes to time changes in asset pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2701-2722, November.
  26. Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012. "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1152-1163.
  27. Saralees Nadarajah & Bo Zhang & Stephen Chan, 2014. "Estimation methods for expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 271-291, February.
  28. Jean-Philippe Aguilar, 2019. "The value of power-related options under spectrally negative L\'evy processes," Papers 1910.07971, arXiv.org, revised Jan 2021.
  29. Xun Li & Ping Lin & Xue-Cheng Tai & Jinghui Zhou, 2015. "Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method," Papers 1511.04950, arXiv.org.
  30. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
  31. Okhrati, Ramin & Balbás, Alejandro & Garrido, José, 2014. "Hedging of defaultable claims in a structural model using a locally risk-minimizing approach," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 2868-2891.
  32. Ramin Okhrati & Alejandro Balb'as & Jos'e Garrido, 2015. "Hedging of defaultable claims in a structural model using a locally risk-minimizing approach," Papers 1505.03501, arXiv.org.
  33. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2021. "Specification analysis of VXX option pricing models under Lévy processes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1456-1477, September.
  34. Oliver X. Li & Weiping Li, 2015. "Hedging jump risk, expected returns and risk premia in jump-diffusion economies," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 873-888, May.
  35. Zheqing Zhu & Jian-guo Liu & Lei Li, 2017. "A Modified Levy Jump-Diffusion Model Based on Market Sentiment Memory for Online Jump Prediction," Papers 1709.03611, arXiv.org.
  36. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.
  37. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  38. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
  39. Levent Kutlu, 2023. "An econometric modeling of price support: The Bitcoin case," Economics Bulletin, AccessEcon, vol. 43(4), pages 1548-1554.
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