Option Pricing in an Exponential Mixedts Lévy Process
19 Pages Posted: 9 Sep 2015 Last revised: 1 Apr 2016
Date Written: September 9, 2015
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: Suggested Citation