Pricing, risk and volatility in subordinated market models

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Pricing, risk and volatility in subordinated market models

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Pricing, risk and volatility in subordinated market models

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA19-16066S" target="_blank" >GA19-16066S: Nelineární interakce a přenos informace v komplexních systémech s extrémními událostmi</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Risks

ISSN

2227-9091

e-ISSN

2227-9091

Svazek periodika

8

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

27

Strana od-do

1-27

Kód UT WoS článku

000601865000001

EID výsledku v databázi Scopus

2-s2.0-85096397513