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

MERCURI, LORENZO
;
RROJI, EDIT
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;
Calibration; Exponential Lévy process; Mixed tempered stable; R package; Decision Sciences (all); Management Science and Operations Research
English
353
374
22
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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