Option Pricing Using Variance Gamma Markov Chains
By Mikhail Konikov, Dilip B Madan 5. 2002
109 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9d70ffe262726f08d1e57f3528c415134fd9ab9b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Peter Tankov
- Dilip B Madan 5
- Peter P. Carr
- Ernst Eberlein
- V. Todorov
- Helyette Geman
- Alessandro Ramponi
- Marc Yor
In Finance
- Dilip B Madan 5
- Peter Tankov
- Ernst Eberlein
- Peter P. Carr
- V. Todorov
- Ole E. Barndorff-Nielsen
- Helyette Geman
- Marc Yor
Citations in the corpus
- SELF‐DECOMPOSABILITY AND OPTION PRICING (2007, background): “Konikov and Madan (2002), noted that the term t skewness for such processes falls like 1/ √ t while the excess kurtosis falls like 1/t.”
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (2011, background): “…American style options: see e.g. Di Masi et al. (1994), Bollen (1998), Guo (2001), Hardy (2001), Duan et al. (2002), Buffington and Elliott (2002), Konikov and Madan (2002), Guo and Zhang (2004), Chourdakis (2004,2007), Edwards (2005), Liu et al. (2006), Yao et al. (2006), Jobert and…”
- Sato processes and the valuation of structured products (2009, background): “For Lévy processes (Konikov and Madan 2002), the skewness decreases as the reciprocal of the square root of maturity while excess kurtosis decreases as the reciprocal of maturity, but these entities are often constant or increasing in market implied surfaces.”
- Stochastic Volatility for Lévy Processes (2003, unknown): “It has been observed in Konikov and Madan (2002) that these homogeneous Lévy processes impose strict conditions on the term structure of the risk-neutral variance, skewness, and kurtosis.”
- Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, background): “This confirms the observation already made by several authors [13, 68] that the framework of exponential Lévy models is not sufficiently flexible to reproduce the term structure of implied volatilities correctly.”