Additive normal tempered stable processes for equity derivatives and power-law scaling
Author:
Affiliation:
1. Department of Mathematics, Politecnico di Milano, 32 p.zza L. da Vinci, Milano I-20133, Italy
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1983200
Reference36 articles.
1. Azzone, M. and Baviera, R., A fast MonteCarlo scheme for additive processes and option pricing, In preparation, 2021.
2. Ballotta, L. and Rayée, G., Smiles & smirks: A tale of factors, 2018. Available at SSRN 2980349.
3. Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
4. Baviera, R., Gigi model: A simple stochastic volatility approach for multifactor interest rates, 2007. Available at SSRN 977479.
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