Related Books
Language: en
Pages: 31
Pages: 31
Type: BOOK - Published: 2014 - Publisher:
This paper presents an approximate formula for pricing average options when the underlying asset price is driven by time-changed Levy processes. Time-changed Le
Language: en
Pages: 35
Pages: 35
Type: BOOK - Published: 2001 - Publisher:
We apply stochastic time change to Levy processes to generate a wide variety of tractable option pricing models. In particular, we prove a fundamental theorem t
Language: en
Pages: 48
Pages: 48
Type: BOOK - Published: 2008 - Publisher:
We analyze the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on the sucture of the jump
Language: en
Pages: 200
Pages: 200
Type: BOOK - Published: 2012 - Publisher: World Scientific
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP \& MEMM] pricing models are clearly intro
Language: en
Pages: 0
Pages: 0
Type: BOOK - Published: 2009 - Publisher:
Options depending on the forward skew are very popular. One such option is the forward starting call option - the basic building block of a cliquet option. Wide