Time-Changed Levy Processes and Option Pricing ⁄

By Peter P. Carr, Liuren Wu. 2002

677 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ea67fd8471972ad8f116849f26a9880546c4dc7f

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Citations in the corpus

Stochastic Skew in Currency Options (2007, positive): “For time-changed Le´ vy processes, Carr and Wu (2004) show that the problem of deriving the generalized Fourier transform can be converted into an equivalent problem of deriving the Laplace transform of the random time change under a new, complex valued measure:”
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009, neutral): “The risk6See for example Andersen, Benzoni and Lund (2002), Bakshi, Cao and Chen (1997), Bates (1996, 2000), Broadie, Chernov and Johannes (2007) Carr and Wu (2004), Chernov, Gallant, Ghysels and Tauchen (2003), Eraker, Johannes and Polson (2003), Eraker (2004), Pan (2002), Santa-Clara and Yan…”
Detecting Jumps from Levy Jump Diffusion Processes (2010, methodology): “Accordingly, their extensive applications have appeared in recent studies such as Carr and Madan (1998), Carr and Wu (2003, 2004, 2006), Huang and Wu (2004), and Bakshi, Carr, and Wu (2005).”
TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, methodology): “iewed as a commodity markets counterpart of the time-changed Levy process-based models in equity markets by Madan et al. (1998), Barndor-Nielsen (1998), Geman et al. (2001), Carr et al. (2003), and Carr and Wu (2004). However, since mean reversion is the crucial feature of commodity markets, instead”
Oil price dynamics (2002-2006) (2008, positive): “, 2002, 2003), Carr and Wu (2004), Cont and Tankov (2004a,b) have proposed the use of Levy processes for modeling asset prices.”
PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “Moreover, it includes most other option pricing models that have been proposed in the literature, as for example, the BNS model with leverage and its generalization to time-changed Lévy models by Carr et al. (2003) and Carr and Wu (2004).”
Econometric analysis of jump-driven stochastic volatility models (2011, methodology): “Examples of such models in the literature are the time-changed Lévy processes studied in Carr et al. (2003), Carr and Wu (2004) and Barndorff-Nielsen and Shephard (2006). models.”
Electricity price modeling with stochastic time change (2017, neutral): “[10], Carr and Wu [11] or Kallsen and Muhle-Karbey [19]).”
Statistical inference for time-changed Lévy processes via composite characteristic function estimation (2010, background): “ more general situation is when T(t) is modeled by a non-decreasing semimartingale T(t) = bt + Zt 0 Z∞ 0 yρ(dy,ds), 4 where bis a drift and ρis the counting measure of jumps in the time change. As in Carr and Wu (2004) one can take bt = 0 and consider locally deterministic time changes T(t) = Zt 0 (”
Self-Exciting Jumps, Learning, and Asset Pricing Implications (2015, background): “The stochastic business time, Ti,t ≡ ∫ t 0 Vi,s−ds, captures the randomness of the diffusion variance (i = 1) or of the jump intensity (i = 2) over a time interval [0, t] (Clark, 1973; Carr et al., 2003; Carr and Wu, 2004).”
Properties of Realized Variance Under Alternative Sampling Schemes (2006, background): “2004a; Carr and Wu, 2004; Cox and Ross, 1976; Geman, Madan, and Yor, 2001; M¨ urmann, 2001).”
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007, positive): “For the use of subordinated processes in financial modelling, without the eigenfunction expansion technique, see, e.g., Barndorff-Nielsen and Levendorskǐi (2001), Carr et al. (2002), Carr and Wu (2004).”
Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case (2010, methodology): “SSM model According to Carr and Wu [11] let us consider a class of models that are known to be able to capture at least the average behavior of the realized volatilities of the stock price across moneyness and maturity.”
Stochastic Volatility for Lévy Processes (2003, neutral): “(For a related development see Carr and Wu 2002.)”
Stochastic Volatility: Origins and Overview (2008, background): “Finally, it is possible to develop option pricing on time-change Lévy processes, see, e.g., Carr and Wu (2004) who develop the derivatives pricing in a setting inspired by Geman, Madan, and Yor (2002).”