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dc.contributor.authorYor, Marc
dc.contributor.authorMadan, Dilip B.
dc.contributor.authorCarr, Peter
dc.contributor.authorGeman, Hélyette
dc.date.accessioned2009-07-27T09:47:45Z
dc.date.available2009-07-27T09:47:45Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1380
dc.language.isoenen
dc.subjectOption pricingen
dc.subjectOrnstein–Uhlenbeck Processesen
dc.subjectBackground Driving Lévy Processesen
dc.subjectScalingen
dc.subjectAdditive Processesen
dc.subject.ddc332en
dc.subject.classificationjelG19en
dc.titleSelf-decomposability and option pricingen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe risk-neutral process is modeled by a four parameter self-similar process of independent increments with a self-decomposable law for its unit time distribution. Six different processes in this general class are theoretically formulated and empirically investigated. We show that all six models are capable of adequately synthesizing European option prices across the spectrum of strikes and maturities at a point of time. Considerations of parameter stability over time suggest a preference for two of these models. Currently, there are several option pricing models with 610 free parameters that deliver a comparable level of performance in synthesizing option prices. The dimension reduction attained here should prove useful in studying the variation over time of option prices.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol17en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2007-01
dc.relation.isversionofjnlpages31-57en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-9965.2007.00293.xen
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWiley - Blackwellen
dc.subject.ddclabelEconomie financièreen


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