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- W3122225488 abstract "A characteristic function-based method is proposed to estimate the time-changed L´evy models, which take into account both stochastic volatility and infinite-activity jumps. The method facilitates computation and overcomes problems related to the discretization error and to the non-tractable probability density. Estimation results and option pricing performance indicate that the infiniteactivity model performs better than the finite-activity one. By introducing a jump component in the volatility process, a double-jump model is also investigated." @default.
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- W3122225488 date "2010-01-01" @default.
- W3122225488 modified "2023-09-27" @default.
- W3122225488 title "A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing" @default.
- W3122225488 hasPublicationYear "2010" @default.
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