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.
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