5 citations · 5 across the 3 of their papers we have counts for
3 papers
Fast and explicit European option pricing under tempered stable processes
Gaetano Agazzotti, Jean-Philippe Aguilar
We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential Lévy model driven by the tempered stable process. Th…
Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
Gaetano Agazzotti, Claudio Aglieri Rinella, Jean-Philippe Aguilar +1
This work examines a stochastic volatility model with double-exponential jumps in the context of option pricing. The model has been considered in previous research articles, but no…
The bilateral generalized inverse Gaussian process with applications to financial modeling
Gaetano Agazzotti, Jean-Philippe Aguilar
We introduce and document a class of probability distributions, called bilateral generalized inverse Gaussian (BGIG) distributions, that are obtained by convolution of two generali…