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Pricing and Completion in a Lévy Market Model with Teugel Martingales

Year 2012, Volume: 41 Issue: 5, 767 - 783, 01.05.2012
https://izlik.org/JA95KZ25AF

References

  • Bandorff-Nielsen, O. and Shephard, N. Non-Gaussian OU based models and some of their uses in financial economics, Journal of the Royal Society 63 (2), 167–241, 2001.
  • Bandorff-Nielsen, O. and Shephard, N. Estimating quadratic variation using realized vari- ance, Journal of the Applied Economics 17 (5), 457–477, 2002.
  • Bandorff-Nielsen, O. and Shephard, N. Realized power variation and stochastic volatility models, Bernoulli 9 (2), 243–265, 2003.
  • Black, F. and Scholes, M. The pricing of options and corporate liabilities, Journal of Political Economy 81 (3), 637–654, 1973.
  • Carr, P. and Madan, D. Option valuation using the fast Fourier transform, Journal of Computational Finance 2 (4), 61–73, 1999.
  • Carr, P. and Wu, L. J. What type of process underlies options? A simple robust test, Journal of Finance 58 (6), 2581–2610, 2003.
  • Cont, R. and Tankov, T. Financial modelling with jump processes (Chapmann & Hall/CRC, Boca Raton, London, New York, Washington D.C., 2004).
  • Cont, R. and Tankov, T. Non-parametric calibration of jump-diffusion option pricing mod- els, Journal of Computational Finance 7 (3), 1–49, 2004.
  • Corcuera, J. M., Nualart, D. and Schoutens W. Completion of a L´evy market by power-jump assets, Finance and Stochastics 9 (1), 109-127, 2003.
  • Jones, D. R., Perttunen, C. C. and Stuckman, B. E. Lipschitzian optimization without the Lipschitz constant, Journal of Optimization Theory and Application 79 (1), 157–181, 1993.
  • Kyprianou, A. E. Introductory lectures on Fluctuations of L´evy Processes with Applications (Springer-Verlag, Berlin, Heidelberg, 2006).
  • L´eon, J. A., Vives, J., Utzet, F. and Sol´e, J. L. On L´evy processes, Malliavin calculus and market models with jumps, Finance and Stochastics 6, 197–225, 2002.
  • Merton, R. Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics 3, 125–144, 1976.
  • Nualart, D. and Schoutens, W. Chaotic and predictable representations for L´evy processes, Stochastic Processes and their Applications 90 (1), 109–122, 2000.
  • Sato, K. L´evy Processes and Infinitely Divisible Distributions(Cambridge University Press, Cambridge, 2000).
  • Shiryaev, A. N. Probability (Springer-Verlag, Berlin, Heidelberg, 1995).

Year 2012, Volume: 41 Issue: 5, 767 - 783, 01.05.2012
https://izlik.org/JA95KZ25AF

References

  • Bandorff-Nielsen, O. and Shephard, N. Non-Gaussian OU based models and some of their uses in financial economics, Journal of the Royal Society 63 (2), 167–241, 2001.
  • Bandorff-Nielsen, O. and Shephard, N. Estimating quadratic variation using realized vari- ance, Journal of the Applied Economics 17 (5), 457–477, 2002.
  • Bandorff-Nielsen, O. and Shephard, N. Realized power variation and stochastic volatility models, Bernoulli 9 (2), 243–265, 2003.
  • Black, F. and Scholes, M. The pricing of options and corporate liabilities, Journal of Political Economy 81 (3), 637–654, 1973.
  • Carr, P. and Madan, D. Option valuation using the fast Fourier transform, Journal of Computational Finance 2 (4), 61–73, 1999.
  • Carr, P. and Wu, L. J. What type of process underlies options? A simple robust test, Journal of Finance 58 (6), 2581–2610, 2003.
  • Cont, R. and Tankov, T. Financial modelling with jump processes (Chapmann & Hall/CRC, Boca Raton, London, New York, Washington D.C., 2004).
  • Cont, R. and Tankov, T. Non-parametric calibration of jump-diffusion option pricing mod- els, Journal of Computational Finance 7 (3), 1–49, 2004.
  • Corcuera, J. M., Nualart, D. and Schoutens W. Completion of a L´evy market by power-jump assets, Finance and Stochastics 9 (1), 109-127, 2003.
  • Jones, D. R., Perttunen, C. C. and Stuckman, B. E. Lipschitzian optimization without the Lipschitz constant, Journal of Optimization Theory and Application 79 (1), 157–181, 1993.
  • Kyprianou, A. E. Introductory lectures on Fluctuations of L´evy Processes with Applications (Springer-Verlag, Berlin, Heidelberg, 2006).
  • L´eon, J. A., Vives, J., Utzet, F. and Sol´e, J. L. On L´evy processes, Malliavin calculus and market models with jumps, Finance and Stochastics 6, 197–225, 2002.
  • Merton, R. Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics 3, 125–144, 1976.
  • Nualart, D. and Schoutens, W. Chaotic and predictable representations for L´evy processes, Stochastic Processes and their Applications 90 (1), 109–122, 2000.
  • Sato, K. L´evy Processes and Infinitely Divisible Distributions(Cambridge University Press, Cambridge, 2000).
  • Shiryaev, A. N. Probability (Springer-Verlag, Berlin, Heidelberg, 1995).
There are 16 citations in total.

Details

Primary Language Turkish
Authors

Yeliz Yolcu Okur This is me

Busra Zeynep Temocin This is me

Azize Hayfavi This is me

Publication Date May 1, 2012
IZ https://izlik.org/JA95KZ25AF
Published in Issue Year 2012 Volume: 41 Issue: 5

Cite

APA Okur, Y. Y., Temocin, B. Z., & Hayfavi, A. (2012). Pricing and Completion in a Lévy Market Model with Teugel Martingales. Hacettepe Journal of Mathematics and Statistics, 41(5), 767-783. https://izlik.org/JA95KZ25AF
AMA 1.Okur YY, Temocin BZ, Hayfavi A. Pricing and Completion in a Lévy Market Model with Teugel Martingales. Hacettepe Journal of Mathematics and Statistics. 2012;41(5):767-783. https://izlik.org/JA95KZ25AF
Chicago Okur, Yeliz Yolcu, Busra Zeynep Temocin, and Azize Hayfavi. 2012. “Pricing and Completion in a Lévy Market Model With Teugel Martingales”. Hacettepe Journal of Mathematics and Statistics 41 (5): 767-83. https://izlik.org/JA95KZ25AF.
EndNote Okur YY, Temocin BZ, Hayfavi A (May 1, 2012) Pricing and Completion in a Lévy Market Model with Teugel Martingales. Hacettepe Journal of Mathematics and Statistics 41 5 767–783.
IEEE [1]Y. Y. Okur, B. Z. Temocin, and A. Hayfavi, “Pricing and Completion in a Lévy Market Model with Teugel Martingales”, Hacettepe Journal of Mathematics and Statistics, vol. 41, no. 5, pp. 767–783, May 2012, [Online]. Available: https://izlik.org/JA95KZ25AF
ISNAD Okur, Yeliz Yolcu - Temocin, Busra Zeynep - Hayfavi, Azize. “Pricing and Completion in a Lévy Market Model With Teugel Martingales”. Hacettepe Journal of Mathematics and Statistics 41/5 (May 1, 2012): 767-783. https://izlik.org/JA95KZ25AF.
JAMA 1.Okur YY, Temocin BZ, Hayfavi A. Pricing and Completion in a Lévy Market Model with Teugel Martingales. Hacettepe Journal of Mathematics and Statistics. 2012;41:767–783.
MLA Okur, Yeliz Yolcu, et al. “Pricing and Completion in a Lévy Market Model With Teugel Martingales”. Hacettepe Journal of Mathematics and Statistics, vol. 41, no. 5, May 2012, pp. 767-83, https://izlik.org/JA95KZ25AF.
Vancouver 1.Yeliz Yolcu Okur, Busra Zeynep Temocin, Azize Hayfavi. Pricing and Completion in a Lévy Market Model with Teugel Martingales. Hacettepe Journal of Mathematics and Statistics [Internet]. 2012 May 1;41(5):767-83. Available from: https://izlik.org/JA95KZ25AF