15 citations · 39 across the 12 of their papers we have counts for
4 papers · 1 filter
Is (independent) subordination relevant in option pricing?
Michele Azzone, Roberto Baviera
Monroe (1978) demonstrates that any local semimartingale can be represented as a time-changed Brownian Motion (BM). A natural question arises: does this representation theorem hold…
Short-time implied volatility of additive normal tempered stable processes
Michele Azzone, Roberto Baviera
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We exami…
Synthetic forwards and cost of funding in the equity derivative market
Michele Azzone, Roberto Baviera
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual…
Additive normal tempered stable processes for equity derivatives and power law scaling
Michele Azzone, Roberto Baviera
We introduce a simple model for equity index derivatives. The model generalizes well known Lèvy Normal Tempered Stable processes (e.g. NIG and VG) with time dependent parameters. I…