منابع مشابه
Lévy simple structural models
The economic idea behind the model is that the tails of the Gaussian distribution are too thin to model the credit market accurately. Although the Gaussian distribution is widely used in other asset classes, it is rarely suitable for extreme out-of-the-money options. But almost all credit default events are extreme events which are controlled by the tail of the distribution. For this reason we ...
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In this paper, we introduce a new class of models for the time evolution of the prices of call options of all strikes and maturities. We capture the information contained in the option prices in the density of some time-inhomogeneous Lévy measure (an alternative to the implied volatility surface), and we set this static code-book in motion by means of stochastic dynamics of Itôs type in a funct...
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We present a general control variate method for Monte Carlo estimation of the expectations of the functionals of Lévy processes. It is based on fast numerical inversion of the cumulative distribution functions and exploits the strong correlation between the increments of the original process and Brownian motion. In the suggested control variate framework, a similar functional of Brownian motion...
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The exponential Lévy model reflects the assumption that the log returns of the asset evolve independently and with identical distribution for the same time steps, which is plausible for liquid markets and not too long time horizons. This basic model class, first introduced by [?], has been considered recently for a variety of pricing and optimisation problems in finance, cf. the recent works by...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2007
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s021902490700438x