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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… Click to show full 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.
Keywords:
mixedts process;
option;
exponential mixedts;
pricing exponential;
option pricing
Journal Title: Annals of Operations Research
Year Published: 2018
Link to full text (if available)
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Journal Title: Annals of Operations Research
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!