Option pricing in an exponential MixedTS Lévy process. In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS that allows the user to calibrate this model using procedures based on loss or likelihood functions.
Keywords for this software
References in zbMATH (referenced in 4 articles , 1 standard article )
Showing results 1 to 4 of 4.
- Kaeck, Andreas; Seeger, Norman J.: VIX derivatives, hedging and vol-of-vol risk (2020)
- Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit: Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (2019)
- Phelan, Carolyn E.; Marazzina, Daniele; Fusai, Gianluca; Germano, Guido: Hilbert transform, spectral filters and option pricing (2019)
- Mercuri, Lorenzo; Rroji, Edit: Option pricing in an exponential mixedts Lévy process (2018)