TY - JOUR
T1 - Option pricing with time-changed Lévy processes
AU - Klingler, Sven
AU - Kim, Young Shin
AU - Rachev, Svetlozar T.
AU - Fabozzi, Frank J.
PY - 2013/8
Y1 - 2013/8
N2 - In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct two empirical studies to compare their performance to other processes that have been used in the literature.
AB - In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate the advantages of the new processes, we conduct two empirical studies to compare their performance to other processes that have been used in the literature.
KW - Lévy processes
KW - option pricing
KW - stochastic volatility
KW - stochastic-time change
KW - tempered stable distributions
UR - http://www.scopus.com/inward/record.url?scp=84880964591&partnerID=8YFLogxK
U2 - 10.1080/09603107.2013.807024
DO - 10.1080/09603107.2013.807024
M3 - Article
AN - SCOPUS:84880964591
VL - 23
SP - 1231
EP - 1238
JO - Applied Financial Economics
JF - Applied Financial Economics
SN - 0960-3107
IS - 15
ER -