Show simple item record

dc.contributor.authorYor, Marc
dc.contributor.authorMadan, Dilip B.
dc.contributor.authorCarr, Peter
dc.contributor.authorGeman, Hélyette
dc.date.accessioned2009-07-31T10:32:24Z
dc.date.available2009-07-31T10:32:24Z
dc.date.issued2004-10
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1448
dc.language.isoenen
dc.subjectLevy processesen
dc.subjectDerivatives securitiesen
dc.subjectRandom walks (mathematics)en
dc.subjectVolatility (finance)en
dc.subjectOptions (finance)en
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleFrom Local Volatility to Local Levy Modelsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherParis 7;France
dc.contributor.editoruniversityotherParis 6;France
dc.contributor.editoruniversityotherUniversity of Maryland;États-Unis
dc.contributor.editoruniversityotherNew York University;États-Unis
dc.description.abstractenWe define the class of local Lévy processes. These are Lévy processes time changed by an inhomogeneous local speed function. The local speed function is a deterministic function of time and the level of the process itself. We show how to reverse engineer the local speed function from traded option prices of all strikes and maturities. The local Lévy processes generalize the class of local volatility models. Closed forms for local speed functions for a variety of cases are also presented. Numerical methods for recovery are also described.en
dc.relation.isversionofjnlnameQuantitative Finance
dc.relation.isversionofjnlvol4en
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2004-10
dc.relation.isversionofjnlpages581-588en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherRoutledgeen
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record