On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type
TLDR
The paper addresses the valuation of contingent claims in stochastic volatility models of Ornstein-Uhlenbeck type, stressing the situation when volatility is driven by purely-discontinuous Levy processes, and develops a reduction series methodology for this purpose.About:
This article is published in Journal of Computational and Applied Mathematics.The article was published on 2014-04-01 and is currently open access. It has received 6 citations till now. The article focuses on the topics: Stochastic volatility & Volatility (finance).read more
Citations
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Lévy processes and infinitely divisible distributions
TL;DR: In this paper, the authors consider the distributional properties of Levy processes and propose a potential theory for Levy processes, which is based on the Wiener-Hopf factorization.
Journal ArticleDOI
Special Functions and Their Applications. By N. N. Lebedev, translated by R. A. Silverman. Pp. xii, 308. 96s. 1965. (Prentice-Hall)
References
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Continuous martingales and Brownian motion
Daniel Revuz,Marc Yor +1 more
TL;DR: In this article, the authors present a comprehensive survey of the literature on limit theorems in distribution in function spaces, including Girsanov's Theorem, Bessel Processes, and Ray-Knight Theorem.
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The Pricing of Options on Assets with Stochastic Volatilities
John Hull,Alan White +1 more
TL;DR: In this article, the option price is determined in series form for the case in which the stochastic volatility is independent of the stock price, and the solution of this differential equation is independent if (a) the volatility is a traded asset or (b) volatility is uncorrelated with aggregate consumption, if either of these conditions holds, the risk-neutral valuation arguments of Cox and Ross [4] can be used in a straightfoward way.
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Econometric analysis of realized volatility and its use in estimating stochastic volatility models
TL;DR: In this paper, the moments and the asymptotic distribution of the realized volatility error were derived under the assumption of a rather general stochastic volatility model, and the difference between realized volatility and the discretized integrated volatility (which is called actual volatility) were estimated.