Time-changed \levy processes and option pricing: a critical comment
Mathematical Finance
2019-07-03 v1
Abstract
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their framework hinges on the stopping time property of the time changes. By analyzing the measurability of the time changes with respect to the underlying filtration, we show that all models CW proposed for the time changes fail to satisfy this assumption.
Cite
@article{arxiv.1907.00149,
title = {Time-changed \levy processes and option pricing: a critical comment},
author = {Hasan Fallahgoul and Kihun Nam},
journal= {arXiv preprint arXiv:1907.00149},
year = {2019}
}
Comments
arXiv admin note: text overlap with arXiv:1808.01852