Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance
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- Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lombardi, Marco J. & Calzolari, Giorgio, 2009.
"Indirect estimation of [alpha]-stable stochastic volatility models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 53(6), pages 2298-2308, April.
- Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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KeywordsLevy-Stable processes; stable Paretian hypothesis; stochastic volatility; alpha-stable processes; option pricing; time-changed Brownian motion.;
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