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Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes

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Author Info

  • Jérémy Poirot

    ()

  • Peter Tankov

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-007-9048-7
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Bibliographic Info

Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 13 (2006)
Issue (Month): 4 (December)
Pages: 327-344

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Handle: RePEc:kap:apfinm:v:13:y:2006:i:4:p:327-344

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Web page: http://springerlink.metapress.com/link.asp?id=102851

Related research

Keywords: Monte Carlo; Option pricing; Lévy process; Tempered stable process; CGMY model;

References

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  1. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
  2. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Papers cond-mat/9705087, arXiv.org.
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Citations

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Cited by:
  1. Szymon Borak & Adam Misiorek & Rafal Weron, 2010. "Models for Heavy-tailed Asset Returns," HSC Research Reports HSC/10/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Kohatsu-Higa, Arturo & Tankov, Peter, 2010. "Jump-adapted discretization schemes for Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2258-2285, November.
  3. Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2011. "Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models," Papers 1106.0866, arXiv.org, revised Jan 2012.
  4. repec:wyi:journl:002150 is not listed on IDEAS
  5. Arturo Kohatsu-Higa & Salvador Ortiz-Latorre & Peter Tankov, 2012. "Optimal simulation schemes for L\'evy driven stochastic differential equations," Papers 1204.4877, arXiv.org.
  6. Jing, Bing-Yi & Kong, Xin-Bing & Liu, Zhi & Mykland, Per, 2012. "On the jump activity index for semimartingales," Journal of Econometrics, Elsevier, vol. 166(2), pages 213-223.
  7. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.

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