scholarly journals Non-Gaussian Analytic Option Pricing: A Closed Formula for the LLvy-stable Model

2016 ◽  
Author(s):  
Jean-Philippe Aguilar ◽  
Cyril G. Coste
Keyword(s):  
Option Pricing ◽  
Stable Model ◽  
Closed Formula ◽  
Non Gaussian

Learning for infinitely divisible GARCH models in option pricing

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Fumin Zhu ◽  
Michele Leonardo Bianchi ◽  
Young Shin Kim ◽  
Frank J. Fabozzi ◽  
Hengyu Wu
Keyword(s):  
Option Pricing ◽  
Stock Returns ◽  
Bayesian Learning ◽  
Space Structure ◽  
Estimation Methods ◽  
Garch Models ◽  
Learning Approaches ◽  
Infinitely Divisible ◽  
Asymmetric Garch ◽  
Non Gaussian

AbstractThis paper studies the option valuation problem of non-Gaussian and asymmetric GARCH models from a state-space structure perspective. Assuming innovations following an infinitely divisible distribution, we apply different estimation methods including filtering and learning approaches. We then investigate the performance in pricing S&P 500 index short-term options after obtaining a proper change of measure. We find that the sequential Bayesian learning approach (SBLA) significantly and robustly decreases the option pricing errors. Our theoretical and empirical findings also suggest that, when stock returns are non-Gaussian distributed, their innovations under the risk-neutral measure may present more non-normality, exhibit higher volatility, and have a stronger leverage effect than under the physical measure.

scholarly journals Acoustic Impulsive Noise Based on Non-Gaussian Models: An Experimental Evaluation

Sensors ◽  
2019 ◽  
Vol 19 (12) ◽  
pp. 2827 ◽  
Author(s):  
Danilo Pena ◽  
Carlos Lima ◽  
Matheus Dória ◽  
Luan Pena ◽  
Allan Martins ◽  
...  
Keyword(s):  
Impulsive Noise ◽  
Gaussian Mixture Models ◽  
Audio Signal ◽  
Poor Performance ◽  
Gaussian Mixture ◽  
Stable Model ◽  
Gaussian Models ◽  
Non Gaussian ◽  
Signal Processing Methods ◽  
Best Fit

In general, acoustic channels are not Gaussian distributed neither are second-order stationary. Considering them for signal processing methods designed for Gaussian assumptions is inadequate, consequently yielding in poor performance of such methods. This paper presents an analysis for audio signal corrupted by impulsive noise using non-Gaussian models. Audio samples are compared to the Gaussian, α -stable and Gaussian mixture models, evaluating the fitting by graphical and numerical methods. We discuss fitting properties as the window length and the overlap, finally concluding that the α -stable model has the best fit for all tested scenarios.

scholarly journals A theory of non-Gaussian option pricing

2007 ◽  
Vol 7 (6) ◽  
pp. 701-701 ◽  
Author(s):  
Lisa Borland
Keyword(s):  
Option Pricing ◽  
Non Gaussian

scholarly journals A theory of non‐Gaussian option pricing

2002 ◽  
Vol 2 (6) ◽  
pp. 415-431 ◽  
Author(s):  
Lisa Borland
Keyword(s):  
Option Pricing ◽  
Non Gaussian

Comments on ‘A theory of non-Gaussian option pricing’

2007 ◽  
Vol 7 (6) ◽  
pp. 697-699 ◽  
Author(s):  
Gil Adams ◽  
Yuhua Yuan ◽  
Michael Kelly
Keyword(s):  
Option Pricing ◽  
Non Gaussian
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