Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

By Peter Tankov. 2011

113 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b37337a50ac337604cc9ac9312c99c9b24f168fd

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

1. Leif B. G. Andersen
2. Alexander Lipton
3. Johannes Muhle‐Karbe
4. Marcel Nutz
5. Aleksandar Mijatovic
6. Peter Tankov
7. Adrien de Larrard
8. Rama Cont

In Finance

1. Leif B. G. Andersen
2. Alexander Lipton
3. Johannes Muhle‐Karbe
4. Marcel Nutz
5. Aleksandar Mijatovic
6. Peter Tankov
7. Daniel Bartl
8. Rama Cont

Citations in the corpus

• A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (2012, background): “fixed t and k → ±∞ [15, 9, 12]; t → ∞ with k constant [25] or proportional [14] to t; t→ 0 and k constant [20, 24, 8] etc.”
• Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, methodology): “follow from the moment formulas of [69], [15], [16] and [55]; see [116] for a brief discussion.”
• Small-Time Asymptotics of Option Prices and First Absolute Moments (2010, methodology): “More generally, Tankov [27] obtains several results similar to ours in the setting of exponential Lévy models; detailed references are given below.”