In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS that allows the user to calibrate this model using procedures based on loss or likelihood functions.

Mercuri, L., Rroji, E. (2018). Option pricing in an exponential MixedTS Lévy process. ANNALS OF OPERATIONS RESEARCH, 260(1-2), 353-374 [10.1007/s10479-016-2180-x].

Option pricing in an exponential MixedTS Lévy process

Rroji, E
2018

Abstract

In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS that allows the user to calibrate this model using procedures based on loss or likelihood functions.
Articolo in rivista - Articolo scientifico
Calibration; Exponential Lévy process; Mixed tempered stable; R package;
English
16-apr-2016
2018
260
1-2
353
374
reserved
Mercuri, L., Rroji, E. (2018). Option pricing in an exponential MixedTS Lévy process. ANNALS OF OPERATIONS RESEARCH, 260(1-2), 353-374 [10.1007/s10479-016-2180-x].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/180599
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