arXiv (All)
open access
Fast and explicit European option pricing under tempered stable processes
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. These formulas recover several popular option pricing models, and become particularly simple in some specific cases such a
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Two-point local time penalizations with various clocks for Lévy processes#927093
- Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing#942377
- Sampling the Schwinger Model with Gauge-Equivariant Diffusion#609978
- Sampling the Schwinger Model with Gauge-Equivariant Diffusion#608916
- Price manipulation in nonlinear transient impact models: rigidity before memory and complete positivity after memory#924329
Record · ID 971712
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive