Advanced search
Publication Cover
Quantitative Finance Volume 22, 2022 - Issue 3
Submit an article Journal homepage
213
Views
3
CrossRef citations to date
0
Altmetric
Research Papers

Additive normal tempered stable processes for equity derivatives and power-law scaling

Michele AzzoneDepartment of Mathematics, Politecnico di Milano, 32 p.zza L. da Vinci, MilanoI-20133, ItalyORCID Iconhttps://orcid.org/0000-0002-0517-796X
ORCID Icon &
Roberto BavieraDepartment of Mathematics, Politecnico di Milano, 32 p.zza L. da Vinci, MilanoI-20133, ItalyCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-8557-979X
ORCID Icon
Pages 501-518 | Received 20 Oct 2020, Accepted 13 Sep 2021, Published online: 07 Dec 2021

Citations (3)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Dilip B. Madan & King Wang. (2023) The economics of time as it is embedded in the prices of options§. Quantitative Finance 23:4, pages 579-593.
Read now

Articles from other publishers (2)

Pascal François, Rémi Galarneau‐Vincent, Geneviève Gauthier & Frédéric Godin. (2022) Venturing into uncharted territory: An extensible implied volatility surface model. Journal of Futures Markets 42:10, pages 1912-1940.
Crossref
Michele Azzone & Roberto Baviera. (2022) Short-time implied volatility of additive normal tempered stable processes. Annals of Operations Research.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.