Option pricing in an exponential MixedTS Lévy process

Lorenzo Mercuri () and Edit Rroji ()
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Edit Rroji: University of Trieste

Annals of Operations Research, 2018, vol. 260, issue 1, No 16, 353-374

Abstract: 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 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10479-016-2180-x

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