Cover Image

Multivariate Lévy models: calibration and pricing

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Amici, Giovanni, Brandimarte, Paolo, Messeri, Francesco, Semeraro, Patrizia
Format:	Preprint
Published:	2023
Subjects:	Pricing of Securities
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
by: Ferreiro, A. M., et al.
Published: (2024)

CBI-time-changed Lévy processes for multi-currency modeling
by: Fontana, Claudio, et al.
Published: (2021)

Alternatives to classical option pricing
by: Lindquist, W. Brent, et al.
Published: (2024)

Path-dependent, ESG-valued, option pricing in the Bachelier-Black-Scholes-Merton model
by: Divelgama, Bhathiya, et al.
Published: (2025)

Denoised Monte Carlo for option pricing and Greeks estimation
by: Daniluk, Andrzej, et al.
Published: (2024)

Enhancing Valuation of Variable Annuities in Lévy Models with Stochastic Interest Rate
by: Goudenège, Ludovic, et al.
Published: (2024)

A general framework for pricing and hedging under local viability
by: Chau, Huy N., et al.
Published: (2024)

Short-maturity asymptotics for option prices with interest rates effects
by: Pirjol, Dan, et al.
Published: (2024)

Valuation of GLWB-LTC Annuities with Lévy Equity Dynamics, Stochastic Interest Rates and Health-State Transitions
by: Molent, Andrea
Published: (2026)

On some semi-parametric estimates for European option prices
by: Marinelli, Carlo
Published: (2023)

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
by: Cherif, Dorsaf, et al.
Published: (2024)

Deep calibration with random grids
by: Baschetti, Fabio, et al.
Published: (2023)

Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices
by: Blanco, Sara Ana Solanilla
Published: (2024)

VIX options in the SABR model
by: Pirjol, Dan, et al.
Published: (2025)

VIX options in Bergomi models
by: Guo, Desen, et al.
Published: (2026)

Asian options for local-stochastic volatility models in the short-maturity regime
by: Pirjol, Dan, et al.
Published: (2024)

Short-maturity options on realized variance in local-stochastic volatility models
by: Pirjol, Dan, et al.
Published: (2024)

On short-time behavior of implied volatility in a market model with indexes
by: Chau, Huy N., et al.
Published: (2024)

Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility
by: Pirjol, Dan, et al.
Published: (2023)

Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
by: Pirjol, Dan, et al.
Published: (2024)

Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
by: Baldacci, Bastien, et al.
Published: (2024)

PDEs for pricing interest rate derivatives under the new generalized Forward Market Model (FMM)
by: López-Salas, J. G., et al.
Published: (2024)

American option pricing using generalised stochastic hybrid systems
by: Buckwar, Evelyn, et al.
Published: (2024)

Universal approximation on non-geometric rough paths and applications to financial derivatives pricing
by: Harang, Fabian A., et al.
Published: (2024)

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
by: Itkin, Andrey
Published: (2023)

A review of the Markov model of life insurance with a view to surplus
by: Haçarız, Oytun, et al.
Published: (2025)

Defaultable bond liquidity spread estimation: an option-based approach
by: Rossi, Pietro, et al.
Published: (2025)

Generic Forward Curve Dynamics for Commodity Derivatives
by: Xiao, David
Published: (2023)

Social Media Emotions and IPO Returns
by: Vamossy, Domonkos F.
Published: (2023)

Foreign Signal Radar
by: Jiao, Wei
Published: (2025)

A Co-evolutionary Approach for Heston Calibration
by: Gutierrez, Julian
Published: (2025)

Counterexamples for FX Options Interpolations -- Part II
by: Healy, Jherek
Published: (2025)

Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
by: Lee, Ting-Jung, et al.
Published: (2025)

Corporate Bond Yield Curve Modeling: A Rating-Based Regime-Switching Generalized CIR Approach
by: Xu, Maochun, et al.
Published: (2026)

Measuring the performance of investments in information security startups: An empirical analysis by cybersecurity sectors using Crunchbase data
by: Maréchal, Loïc, et al.
Published: (2024)

GIFfluence: A Visual Approach to Investor Sentiment and the Stock Market
by: Gu, Ming, et al.
Published: (2025)

Asset Pricing in the Presence of Market Microstructure Noise
by: Yegon, Peter, et al.
Published: (2025)

Asset Pricing Model in Markets of Imperfect Information and Subjective Views
by: Lalioui, Hafid, et al.
Published: (2025)

Interpretable Factors of Firm Characteristics
by: Jiao, Yuxiao, et al.
Published: (2025)

Fast Derivative Valuation from Volatility Surfaces using Machine Learning
by: Ding, Lijie, et al.
Published: (2025)