Pricing and Completion in a Lévy Market Model with Teugel Martingales

Volume: 41 Number: 5 May 1, 2012
  • Yeliz Yolcu Okur
  • Busra Zeynep Temocin
  • Azize Hayfavi
EN

Pricing and Completion in a Lévy Market Model with Teugel Martingales

Abstract

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Keywords

References

  1. 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.
  2. Bandorff-Nielsen, O. and Shephard, N. Estimating quadratic variation using realized vari- ance, Journal of the Applied Economics 17 (5), 457–477, 2002.
  3. Bandorff-Nielsen, O. and Shephard, N. Realized power variation and stochastic volatility models, Bernoulli 9 (2), 243–265, 2003.
  4. Black, F. and Scholes, M. The pricing of options and corporate liabilities, Journal of Political Economy 81 (3), 637–654, 1973.
  5. Carr, P. and Madan, D. Option valuation using the fast Fourier transform, Journal of Computational Finance 2 (4), 61–73, 1999.
  6. Carr, P. and Wu, L. J. What type of process underlies options? A simple robust test, Journal of Finance 58 (6), 2581–2610, 2003.
  7. Cont, R. and Tankov, T. Financial modelling with jump processes (Chapmann & Hall/CRC, Boca Raton, London, New York, Washington D.C., 2004).
  8. Cont, R. and Tankov, T. Non-parametric calibration of jump-diffusion option pricing mod- els, Journal of Computational Finance 7 (3), 1–49, 2004.

Details

Primary Language

Turkish

Subjects

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Journal Section

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Authors

Yeliz Yolcu Okur This is me

Busra Zeynep Temocin This is me

Azize Hayfavi This is me

Publication Date

May 1, 2012

Submission Date

May 11, 2014

Acceptance Date

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Published in Issue

Year 2012 Volume: 41 Number: 5

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