Azize HAYFAVI, Yeliz OKUR YOLCU, Busra Zeynep TEMOCIN

Pricing and Completion in a Lévy Market Model with Teugel Martingales

Keywords:

-,

PDF

___

Bandorff-Nielsen, O. and Shephard, N. Non-Gaussian OU based models and some of their uses in financial economics, Journal of the Royal Society 63 (2), 167–241, 2001.
Bandorff-Nielsen, O. and Shephard, N. Estimating quadratic variation using realized vari- ance, Journal of the Applied Economics 17 (5), 457–477, 2002.
Bandorff-Nielsen, O. and Shephard, N. Realized power variation and stochastic volatility models, Bernoulli 9 (2), 243–265, 2003.
Black, F. and Scholes, M. The pricing of options and corporate liabilities, Journal of Political Economy 81 (3), 637–654, 1973.
Carr, P. and Madan, D. Option valuation using the fast Fourier transform, Journal of Computational Finance 2 (4), 61–73, 1999.
Carr, P. and Wu, L. J. What type of process underlies options? A simple robust test, Journal of Finance 58 (6), 2581–2610, 2003.
Cont, R. and Tankov, T. Financial modelling with jump processes (Chapmann & Hall/CRC, Boca Raton, London, New York, Washington D.C., 2004).
Cont, R. and Tankov, T. Non-parametric calibration of jump-diffusion option pricing mod- els, Journal of Computational Finance 7 (3), 1–49, 2004.
Corcuera, J. M., Nualart, D. and Schoutens W. Completion of a L´evy market by power-jump assets, Finance and Stochastics 9 (1), 109-127, 2003.
Jones, D. R., Perttunen, C. C. and Stuckman, B. E. Lipschitzian optimization without the Lipschitz constant, Journal of Optimization Theory and Application 79 (1), 157–181, 1993.
Kyprianou, A. E. Introductory lectures on Fluctuations of L´evy Processes with Applications (Springer-Verlag, Berlin, Heidelberg, 2006).
L´eon, J. A., Vives, J., Utzet, F. and Sol´e, J. L. On L´evy processes, Malliavin calculus and market models with jumps, Finance and Stochastics 6, 197–225, 2002.
Merton, R. Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics 3, 125–144, 1976.
Nualart, D. and Schoutens, W. Chaotic and predictable representations for L´evy processes, Stochastic Processes and their Applications 90 (1), 109–122, 2000.
Sato, K. L´evy Processes and Infinitely Divisible Distributions(Cambridge University Press, Cambridge, 2000).
Shiryaev, A. N. Probability (Springer-Verlag, Berlin, Heidelberg, 1995).