Non-parametric calibration of jump–diffusion option pricing models

By Rama Cont, Peter Tankov. 2004

179 citations recorded by the source corpus.

Subfields: Demography, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5d46fb5373abf34f2e1aeaaadf68f2790f7c9739

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Citations in the corpus

Pricing Path-Dependent Options with Jump Risk via Laplace Transforms (2005, methodology): “While we refer to Cont and Tankov (2004b) for more details on parameter estimation under the double exponential model, we believe that in most practical cases η1 > 10.”
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005, unknown): “The flexibility of choice of the Lévy process X allows us to calibrate the model to market prices of options and reproduce a wide variety of implied volatility skews/smiles [12].”
Calibration and hedging under jump diffusion (2007, methodology): “One major difference of our investigation from [13] is that we consider the calibration problem for a jump diffusion model with a local volatility function rather than a non-parametric Levy density.”
Robust risk measurement and model risk (2014, unknown): “Indeed, relative entropy has been applied for model calibration and estimation in numerous sources, including Avellaneda (1998), Avellaneda et al. (2000, 1997), Buchen and Kelly (1996), Cont and Deguest (2013), Cont and Tankov (2004, 2006), Gulko (1999, 2002), and Segoviano and Goodhart (2009).”
MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (2011, background): “…a constant jump intensity and jump sizes that follow a normal distribution: 7 Other studies that estimate Lévy processes using underlying or option prices include Barndorff-Nielsen and Shephard (2004), Belomestny and Reiss (2006), Cont and Tankov (2004a), Griffin and Steel (2006), among others.”
Spectral estimation of the fractional order of a Lévy process (2010, methodology): “Nowadays Lévy processes are undoubtedly one of the most popular tool for modeling economic and financial time series [see, e.g., Cont and Tankov (2004), for an overview].”
Jump-diffusion Models: a Practitioner's Guide (2009, methodology): “This procedure is described in detail in [9, 10, 22].”
Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2011, methodology): “this measure is usually found by calibrating the exponential Lévy model to market quoted prices of European options [5, 17], and the first step in using the model is therefore to obtain fast pricing algorithms for European calls and puts.”
Maximum likelihood estimation of the double exponential jump-diffusion process (2007, methodology): “Carr and Madan (1999), Lewis (2001), Broadie and Yamamoto (2003), and Cont and Tankov (2004) also use variations of the FFT method to develop an option pricing formula under DEJD specification. dH́alluin et al. (2004) develop robust numerical methods for pricing contingent claims under jump…”
Hedging with options in models with jumps (2007, methodology): “On the other hand, the risk-adjusted measure retrieved from quoted option prices using a ”calibration” procedure [4, 9, 10] is naturally interpreted as encapsulating the market anticipation of future scenarios.”