In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS that allows the user to calibrate this model using procedures based on loss or likelihood functions.
Option pricing in an exponential MixedTS Lévy process / L. Mercuri, E. Rroji. - In: ANNALS OF OPERATIONS RESEARCH. - ISSN 0254-5330. - 260:1-2(2018 Jan), pp. 353-374. ((Intervento presentato al 55. convegno Meeting of EURO-Working-Group on Commodities and Financial Modelling (EWGCFM) : May, 14th - 16th tenutosi a Ankara nel 2015 [10.1007/s10479-016-2180-x].
Option pricing in an exponential MixedTS Lévy process
L. Mercuri
Primo
;
2018
Abstract
In this paper we present an option pricing model based on the assumption that the underlying asset price is an exponential Mixed Tempered Stable Lévy process. We also introduce a new R package called PricingMixedTS that allows the user to calibrate this model using procedures based on loss or likelihood functions.
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OptionMixedTS_Review1.pdf
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Mercuri-Rroji2018_Article_OptionPricingInAnExponentialMi (1).pdf
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