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q-fin.PR2019
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
Antoine Jacquier, Lorenzo Torricelli
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponentia…
q-fin.PR2012
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Lorenzo Torricelli
In this paper we propose a general derivative pricing framework which employs decoupled time-changed (DTC) Lévy processes to model the underlying asset of contingent claims. A DTC…
q-fin.PR2012
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Lorenzo Torricelli
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variatio…