Pricing, risk and volatility in subordinated market models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F20%3A00344267" target="_blank" >RIV/68407700:21340/20:00344267 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.3390/risks8040124" target="_blank" >https://doi.org/10.3390/risks8040124</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/risks8040124" target="_blank" >10.3390/risks8040124</a>

Result language
angličtina
Original language name
Pricing, risk and volatility in subordinated market models
Original language description
We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results on option pricing in subordinated market models, we establish several analytical formulas for market sensitivities and portfolio performance in this class of models, and discuss some useful approximations when options are not far from the money. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier techniques.
Czech name
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Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA19-16066S" target="_blank" >GA19-16066S: Nonlinear interactions and information transfer in complex systems with extreme events</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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