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Pricing, risk and volatility in subordinated market models
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| Veröffentlicht in: | Risks 8(2020), 4/124 vom: Nov., Seite 1-27 |
|---|---|
| Personen und Körperschaften: | , , |
| Titel: | Pricing, risk and volatility in subordinated market models/ Jean-Philippe Aguilar, Justin Lars Kirkby and Jan Korbel |
| Format: | E-Book-Kapitel |
| Sprache: | Englisch |
| veröffentlicht: |
2020
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| Gesamtaufnahme: |
: Risks, 8(2020), 4/124 vom: Nov., Seite 1-27
, volume:8 |
| Schlagwörter: | |
| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
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| 520 | |a We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques. | ||
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| contents | We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques. |
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| spelling | Aguilar, Jean-Philippe VerfasserIn aut, Pricing, risk and volatility in subordinated market models Jean-Philippe Aguilar, Justin Lars Kirkby and Jan Korbel, 2020, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, DE-206 Open Access Controlled Vocabulary for Access Rights http://purl.org/coar/access_right/c_abf2, We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques., DE-206 Namensnennung 4.0 International CC BY 4.0 cc https://creativecommons.org/licenses/by/4.0/, Aufsatz in Zeitschrift DE-206, Kirkby, Justin Lars VerfasserIn aut, Korbel, Jan VerfasserIn aut, Enthalten in Risks Basel : MDPI, 2013 8(2020), 4/124 vom: Nov., Seite 1-27 Online-Ressource (DE-627)737288485 (DE-600)2704357-5 (DE-576)379467852 2227-9091 nnns, volume:8 year:2020 number:4/124 month:11 pages:1-27, https://www.mdpi.com/2227-9091/8/4/124/pdf Verlag kostenfrei, https://doi.org/10.3390/risks8040124 Resolving-System kostenfrei, http://hdl.handle.net/10419/258077 Resolving-System kostenfrei, https://doi.org/10.3390/risks8040124 LFER, https://www.mdpi.com/2227-9091/8/4/124/pdf LFER, LFER 2021-02-08T12:24:11Z |
| spellingShingle | Aguilar, Jean-Philippe, Kirkby, Justin Lars, Korbel, Jan, Pricing, risk and volatility in subordinated market models, We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques., Aufsatz in Zeitschrift |
| title | Pricing, risk and volatility in subordinated market models |
| title_auth | Pricing, risk and volatility in subordinated market models |
| title_full | Pricing, risk and volatility in subordinated market models Jean-Philippe Aguilar, Justin Lars Kirkby and Jan Korbel |
| title_fullStr | Pricing, risk and volatility in subordinated market models Jean-Philippe Aguilar, Justin Lars Kirkby and Jan Korbel |
| title_full_unstemmed | Pricing, risk and volatility in subordinated market models Jean-Philippe Aguilar, Justin Lars Kirkby and Jan Korbel |
| title_in_hierarchy | Pricing, risk and volatility in subordinated market models / Jean-Philippe Aguilar, Justin Lars Kirkby and Jan Korbel, |
| title_short | Pricing, risk and volatility in subordinated market models |
| title_sort | pricing risk and volatility in subordinated market models |
| topic | Aufsatz in Zeitschrift |
| topic_facet | Aufsatz in Zeitschrift |
| url | https://www.mdpi.com/2227-9091/8/4/124/pdf, https://doi.org/10.3390/risks8040124, http://hdl.handle.net/10419/258077 |