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• W875885787 abstract "In this paper we propose a general derivative pricing framework that employs decoupled time-changed (DTC) Lévy processes to model the underlying assets of contingent claims. A DTC Lévy process is a generalized time-changed Lévy process whose continuous and pure jump parts are allowed to follow separate random time scalings; we devise the martingale structure for a DTC Lévy-driven asset and revisit many popular models which fall under this framework. Postulating different time changes for the underlying Lévy decomposition allows the introduction of asset price models consistent with the assumption of a correlated pair of continuous and jump market activity rates; we study one illustrative DTC model of this kind based on the so-called Wishart process. The theory we develop is applied to the problem of pricing not only claims that depend on the price or the volatility of an underlying asset, but also more sophisticated derivatives whose payoffs rely on the joint performance of these two financial variables, such as the target volatility option. We solve the pricing problem through a Fourier-inversion method. Numerical analyses validating our techniques are provided. In particular, we present some evidence that correlating the activity rates could be beneficial for modeling the volatility skew dynamics." @default.
• W875885787 created "2016-06-24" @default.
• W875885787 creator A5062123828 @default.
• W875885787 date "2015-07-17" @default.
• W875885787 modified "2023-10-14" @default.
• W875885787 title "Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes" @default.
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• W875885787 doi "https://doi.org/10.1007/s11147-015-9113-8" @default.
• W875885787 hasPublicationYear "2015" @default.
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