Artikel
Pricing, risk and volatility in subordinated market models
We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 8 ; Year: 2020 ; Issue: 4 ; Pages: 1-27 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
Lévy process
subordination
option pricing
risk sensitivity
stochastic volatility
Greeks
time-change
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aguilar, Jean-Philippe
Kirkby, Justin Lars
Korbel, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/risks8040124
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Aguilar, Jean-Philippe
- Kirkby, Justin Lars
- Korbel, Jan
- MDPI
Entstanden
- 2020
Ähnliche Objekte (12)
Equity option pricing with systematic and idiosyncratic volatility and jump risks
Market volatility and investors' view of firm-level risk: A case of green firms
Asymptotic expansion of risk-neutral pricing density
Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Effect of variance swap in hedging volatility risk
Quantifying correlation uncertainty risk in credit derivatives pricing
Forecasting stochastic volatility characteristics for the financial fossil oil market densities
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Asymmetric realized volatility risk
Forecasting volatility: Evidence from the Saudi stock market
Saddlepoint method for pricing European options under Markov-switching Heston's stochastic volatility model
Volatility spillovers among cryptocurrencies
Equity option pricing with systematic and idiosyncratic volatility and jump risks
Market volatility and investors' view of firm-level risk: A case of green firms
Asymptotic expansion of risk-neutral pricing density
Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Effect of variance swap in hedging volatility risk
Quantifying correlation uncertainty risk in credit derivatives pricing
Forecasting stochastic volatility characteristics for the financial fossil oil market densities
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Asymmetric realized volatility risk
Forecasting volatility: Evidence from the Saudi stock market
Saddlepoint method for pricing European options under Markov-switching Heston's stochastic volatility model
Volatility spillovers among cryptocurrencies
Equity option pricing with systematic and idiosyncratic volatility and jump risks
Market volatility and investors' view of firm-level risk: A case of green firms
Asymptotic expansion of risk-neutral pricing density
Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Effect of variance swap in hedging volatility risk
Quantifying correlation uncertainty risk in credit derivatives pricing
Forecasting stochastic volatility characteristics for the financial fossil oil market densities
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Asymmetric realized volatility risk
Forecasting volatility: Evidence from the Saudi stock market
Saddlepoint method for pricing European options under Markov-switching Heston's stochastic volatility model