2015•Review of Derivatives ResearchRequires access

Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes

Lorenzo Torricelli

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Key concepts: Lévy process, Econometrics, Martingale (probability theory), Economics, Stochastic volatility, Volatility (finance), Valuation of options, Valuation (finance)

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Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes — Research Paper | ScholarLens