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Stavros J. Sioutis

1 paper hereh-index 11 citations1 works total

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  • sole author1

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  • q-fin.PR1

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most citedCalibration and Filtering of Exponential Lévy Option Pricing Models

1 citations · 1 across the 1 of their papers we have counts for

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1 paper

q-fin.PR2017★ 1 cited

Calibration and Filtering of Exponential Lévy Option Pricing Models

Stavros J. Sioutis

The accuracy of least squares calibration using option premiums and particle filtering of price data to find model parameters is determined. Derivative models using exponential Lév…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.