LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES
نویسندگان
چکیده
منابع مشابه
Local Variance Gamma and Explicit Calibration to Option Prices
In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with multiple maturities. In this paper, we analyze a special class of pure jump Markov martingale models and provide an algorithm for calibrating such model to match the market prices of European options of multiple strikes a...
متن کاملThe Variance Gamma Process and Option Pricing
A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional parameters are the drift of the Brownian motion and the volatility of the time change. These additiona...
متن کاملOption prices and disclosure
In this paper, I develop an option-pricing model that formally incorporates a disclosure event. The model suggests that an understanding of a firm’s disclosure policies can aid in effi ciently pricing its options. The reason is that these policies impact the distributions of jumps in the firm’s equity price, which affect the expected payoff to the firm’s options. Specifically, I find that 1) mo...
متن کاملVariance Reduction for Monte Carlo Methods to Evaluate Option Prices under Multi-factor Stochastic Volatility Models
We present variance reduction methods for Monte Carlo simulations to evaluate European and Asian options in the context of multiscale stochastic volatility models. European option price approximations, obtained from singular and regular perturbation analysis [J.P. Fouque, G. Papanicolaou, R. Sircar and K. Solna: Multiscale Stochastic Volatility Asymptotics, SIAM Journal on Multiscale Modeling a...
متن کاملSensitivity of American Option Prices with Respect to the Variations of Local Volatility
In mathematical finance there are two well known and traditional techniques to deal American options: Solving parabolic partial differential equations and using the probabilistic approach. In this paper, we use purely probabilistic approach. We consider standard one-dimensional diffusion model with local volatility that is a function of time and current stock price and where the risk-free inter...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2014
ISSN: 0960-1627
DOI: 10.1111/mafi.12086