American option valuation under time changed tempered stable Lévy processes
详细信息 查看全文
- 作者：Xiaoli Gong ; qdgongxiaoli@126.com" class="auth_mail" title="E-mail the corresponding author ; Xintian Zhuang
- 关键词：Stylized facts ; Tempered stable processes ; Fourier-cosine technique ; Improved particle swarm optimization
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：15 January 2017
- 年：2017
- 卷：466
- 期：Complete
- 页码：57-68
- 全文大小：1245 K
文摘
- class="listitem" id="list_l000005">
- class="label">•
Stochastic time change of volatility is brought into the normal tempered stable process.
- class="label">•
Construct stochastic volatility tempered stable model to capture leptokurtosis and heteroskedasticity.
- class="label">•
Fourier-cosine technique is employed to compute American option.
- class="label">•
Propose improved Particle Swarm optimization algorithm for model calibration.