The purpose of this paper is to propose an implementation method for a class of tangent Lévy models and to test its performance using market data. This method ...
Apr 1, 2015 · In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. ...
In this paper, we implement and test a market-based model for European-type options, based on the tangent Lévy models proposed in [R. Carmona and S.
Apr 1, 2015 · In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Lévy models proposed in [4] ...
Abstract. In this paper, we construct a solution to the optimal contract problem for delegated portfolio man- agement of the first-best (risk-sharing) type.
[PDF] Implied Volatility Surface Simulation with Tangent Lévy Models
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cedure for simulating implied volatility surfaces via tangent Lévy models. The biggest advantage of working with tangent Lévy model is that the simulated ...
This paper provides a testing procedure to discriminate between the classes of deterministic and stochastic volatility models, under minimal assumptions. In ...
In this thesis, we present two approaches based on tangent Lvy models to achieve the task. One of the biggest advantages of tangent Lvy models is that, by using ...
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Jan 1, 2017 · Our study demonstrates that the tangent Lévy model does a better job at finding a portfolio with the smallest variance than does the SABR model.
Nov 21, 2016 · In this paper, we implement and test a market-based model for European-type options, based on the tangent Levy models proposed in [4] and ...
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