Option Pricing in an Exponential Mixedts Lévy Process

19 Pages Posted: 9 Sep 2015 Last revised: 1 Apr 2016

See all articles by Lorenzo Mercuri

Lorenzo Mercuri

University of Milan

Edit Rroji

Polytechnic University of Milan - Department of Mathematics

Date Written: September 9, 2015

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.

Keywords: Exponential Lévy process, Mixed Tempered Stable, R package, Calibration

JEL Classification: C63, C88

Suggested Citation

Mercuri, Lorenzo and Rroji, Edit, Option Pricing in an Exponential Mixedts Lévy Process (September 9, 2015). Annals of Operation Research, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2658390 or http://dx.doi.org/10.2139/ssrn.2658390

Lorenzo Mercuri (Contact Author)

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Edit Rroji

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

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