Some results on pricing of selected exotic options via subordinated Lévy models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86083108" target="_blank" >RIV/61989100:27510/12:86083108 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Some results on pricing of selected exotic options via subordinated Lévy models
Original language description
Detecting the fair, ie. no-arbitrage, price of an option is a very interesting and challenging task of quantitative finance. It results mostly from the fact that the option payoff is nonlinear and the price can be very sensitive to the changes of underlying factors (especially ATM options). This common feature is further stressed in case of options with some discontinuity in the payoff function. By contrast, options that are illiquid can be very sensitive to the asymmetry of the probability distribution of underlying factors as well as its fat tails. A popular model, how to deal with stylized facts of financial asset returns, such as skewness or kurtosis of the option underlying distribution, is a subordinated Lévy model (VG, NIG). In this paper, we apply these two models to estimate the value of several exotic options written on various FX rates.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: IT4Innovations Centre of Excellence</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Řízení a modelování finančních rizik : sborník příspěvků z 6. mezinárodní vědecké konference : 10.-11. září 2012, Ostrava, Česká republika
ISBN
978-80-248-2835-0
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
610-617
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 10, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000317528600069