The Fine Structure of Asset Returns: An Empirical Investigation*

Peter Carr

New York University

Hélyette Geman

Université Paris Dauphine and Ecole Superieure des Sciences Economiques et Commerciales

Dilip B. Madan

University of Maryland

Marc Yor

Université Paris 6.

Cited by

Liming Feng, Vadim Linetsky. (2009) Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Finance and Stochastics 13:4, 501-529
Online publication date: 1-Oct-2009.
CrossRef

N. Hilber, N. Reich, C. Schwab, C. Winter. (2009) Numerical methods for Lévy processes. Finance and Stochastics 13:4, 471-500
Online publication date: 1-Oct-2009.
CrossRef

Oleg Kudryavtsev, Sergei Levendorski. (2009) Fast and accurate pricing of barrier options under Lévy processes. Finance and Stochastics 13:4, 531-562
Online publication date: 1-Oct-2009.
CrossRef

Dilip B. Madan, Robert J. Elliott. (2009) Multiple Priors and Asset Pricing. Methodology and Computing in Applied Probability 11:2, 211-229
Online publication date: 1-Jul-2009.
CrossRef

Constantinos Kardaras. (2009) NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT. Mathematical Finance 19:2, 161-187
Online publication date: 1-May-2009.
CrossRef

Svetlana Boyarchenko, Sergei Levendorskii. (2009) American Options in Regime-Switching Models. SIAM Journal on Control and Optimization 48:3, 1353
Online publication date: 1-Feb-2009.
CrossRef

Akihiko Takahashi, Akira Yamazaki. (2009) Efficient static replication of European options under exponential Lévy models. Journal of Futures Markets 29:1, 1-15
Online publication date: 1-Feb-2009.
CrossRef

Olivier Le Courtois, François Quittard-Pinon. (2009) Fair Valuation of Participating Life Insurance Contracts with Jump Risk. The Geneva Risk and Insurance Review 33:2, 106-136
Online publication date: 1-Jan-2009.
CrossRef

Aleksander Stanislavsky, Aleksander Weron. (2008) Diffusion and relaxation controlled by tempered α -stable processes. Physical Review E 78:5,
Online publication date: 1-Dec-2008.
CrossRef

M. Montero. (2008) Renewal equations for option pricing. The European Physical Journal B 65:2, 295-306
Online publication date: 1-Oct-2008.
CrossRef

Dilip B. Madan, Haluk nal. (2008) Pricing Reinsurance Contracts on FDIC Losses. Financial Markets, Institutions & Instruments 17:3, 225-247
Online publication date: 1-Sep-2008.
CrossRef

Zhengjun Jiang, Martijn R. Pistorius. (2008) On perpetual American put valuation and first-passage in a regime-switching model with jumps. Finance and Stochastics 12:3, 331-355
Online publication date: 1-Aug-2008.
CrossRef

Liming Feng, Vadim Linetsky. (2008) PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. Mathematical Finance 18:3, 337-384
Online publication date: 1-Aug-2008.
CrossRef

Olivier Le Courtois, François Quittard-Pinon. (2008) The optimal capital structure of the firm with stable Lévy assets returns. Decisions in Economics and Finance 31:1, 51-72
Online publication date: 1-Jun-2008.
CrossRef

Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev. (2008) On the duality principle in option pricing: semimartingale setting. Finance and Stochastics 12:2, 265-292
Online publication date: 1-May-2008.
CrossRef

Robert K. Evanson. (2008) Economic interest groups and the consolidation of democracy in the Czech Republic. Journal of Public Affairs 8:1-2, 33-49
Online publication date: 1-Mar-2008.
CrossRef

F. Fang, C. W. Oosterlee. (2008) A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions. SIAM Journal on Scientific Computing 31:2, 826
Online publication date: 1-Feb-2008.
CrossRef

R. Lord, F. Fang, F. Bervoets, C. W. Oosterlee. (2008) A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Levy Processes. SIAM Journal on Scientific Computing 30:4, 1678
Online publication date: 1-Feb-2008.
CrossRef

Jari Toivanen. (2008) Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model. SIAM Journal on Scientific Computing 30:4, 1949
Online publication date: 1-Feb-2008.
CrossRef

E. Mordecki, A. Szepessy, R. Tempone, G. E. Zouraris. (2008) Adaptive Weak Approximation of Diffusions with Jumps. SIAM Journal on Numerical Analysis 46:4, 1732
Online publication date: 1-Feb-2008.
CrossRef

Mack L. Galloway, Craig A. Nolder. (2008) Subordination, Self-Similarity, and Option Pricing. Journal of Applied Mathematics and Decision Sciences 2008, 1-31
Online publication date: 1-Feb-2008.
CrossRef

Damir Filipović, Stefan Tappe. (2007) Existence of Lévy term structure models. Finance and Stochastics 12:1, 83-115
Online publication date: 21-Dec-2007.
CrossRef

Jakša Cvitanić, Vassilis Polimenis, Fernando Zapatero. (2007) Optimal portfolio allocation with higher moments. Annals of Finance 4:1, 1-28
Online publication date: 15-Dec-2007.
CrossRef

Nina Boyarchenko, Sergei Levendorski. (2007) THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS. Mathematical Finance 17:4, 503-539
Online publication date: 1-Nov-2007.
CrossRef

Young Shin Kim, Jeong Hyun Lee. (2007) The relative entropy in CGMY processes and its applications to finance. Mathematical Methods of Operations Research 66:2, 327-338
Online publication date: 24-Oct-2007.
CrossRef

Jérémy Poirot, Peter Tankov. (2007) Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes. Asia-Pacific Financial Markets 13:4, 327-344
Online publication date: 14-Oct-2007.
CrossRef

Marc Atlan, Hélyette Geman, Dilip B. Madan, Marc Yor. (2007) Correlation and the pricing of risks. Annals of Finance 3:4, 411-453
Online publication date: 21-Sep-2007.
CrossRef

H. Li, M. T. Wells, C. L. Yu. (2007) A Bayesian Analysis of Return Dynamics with Levy Jumps. Review of Financial Studies 21:5, 2345-2378
Online publication date: 12-May-2007.
CrossRef

Ariel Almendral, Cornelis W. Oosterlee. (2007) Accurate Evaluation of European and American Options Under the CGMY Process. SIAM Journal on Scientific Computing 29:1, 93
Online publication date: 1-Feb-2007.
CrossRef

Peter Carr, Hélyette Geman, Dilip B. Madan, Marc Yor. (2007) SELF-DECOMPOSABILITY AND OPTION PRICING. Mathematical Finance 17:1, 31-57
Online publication date: 1-Feb-2007.
CrossRef

Nikita Ratanov. (2007) Jump Telegraph Processes and Financial Markets with Memory. Journal of Applied Mathematics and Stochastic Analysis 2007, 1-20
Online publication date: 1-Feb-2007.
CrossRef

Ole E. Barndorff-Nielsen, Makoto Maejima, Ken-iti Sato. (2007) Infinite Divisibility for Stochastic Processes and Time Change. Journal of Theoretical Probability 19:2, 411-446
Online publication date: 11-Jan-2007.
CrossRef

Athanassios N. Avramidis, Pierre L?Ecuyer. (2007) Efficient Monte Carlo and Quasi?Monte Carlo Option Pricing Under the Variance Gamma Model. Management Science 52:12, 1930-1944
Online publication date: 1-Jan-2007.
CrossRef

Denis Belomestny, Markus Reiß. (2006) Spectral calibration of exponential Lévy models. Finance and Stochastics 10:4, 449-474
Online publication date: 17-Dec-2006.
CrossRef

J. M. Vanden. (2006) Information Quality and Options. Review of Financial Studies 21:6, 2635-2676
Online publication date: 25-Nov-2006.
CrossRef

Abdelhakim Necir. (2006) A Nonparametric Sequential Test with Power 1 for the Mean of Lévy-stable Laws with Infinite Variance. Methodology and Computing in Applied Probability 8:3, 321-343
Online publication date: 1-Oct-2006.
CrossRef

A. -M. Matache, C. Schwab, T. P. Wihler. (2006) Linear Complexity Solution of Parabolic Integro-differential Equations. Numerische Mathematik 104:1, 69-102
Online publication date: 12-Aug-2006.
CrossRef

Robert J. Elliott, Carlton-James U. Osakwe. (2006) Option Pricing for Pure Jump Processes with Markov Switching Compensators. Finance and Stochastics 10:2, 250-275
Online publication date: 11-Jun-2006.
CrossRef

Liuren Wu. (2006) Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns. The Journal of Business 79:3, 1445-1473
Online publication date: 1-May-2006.

Abstract-Full Text-PDF Version (256 kB)

Hélyette Geman and Andrea Roncoroni. (2006) Understanding the Fine Structure of Electricity Prices. The Journal of Business 79:3, 1225-1261
Online publication date: 1-May-2006.

Abstract-Full Text-PDF Version (373 kB)

Y. Malevergne, V. Pisarenko, D. Sornette. (2006) On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns. Applied Financial Economics 16:3, 271-289
Online publication date: 1-Mar-2006.
CrossRef

Sherrill Shaffer. (2006) Corporate Failure and Equity Valuation. Financial Analysts Journal 62:1, 71-80
Online publication date: 1-Feb-2006.
CrossRef

Elton A. Daal and Dilip B. Madan. (2005) An Empirical Examination of the Variance‐Gamma Model for Foreign Currency Options. The Journal of Business 78:6, 2121-2152
Online publication date: 1-Nov-2005.

Abstract-Full Text-PDF Version (545 kB)

Shian-Chang Huang, Mao-Wei Hung. (2005) Pricing foreign equity options under Lévy processes. Journal of Futures Markets 25:10, 917-944
Online publication date: 1-Nov-2005.
CrossRef

Lloyd P. Blenman, Steven P. Clark. (2005) Options with Constant Underlying Elasticity in Strikes. Review of Derivatives Research 8:2, 67-83
Online publication date: 1-Sep-2005.
CrossRef

Sergei Levendorskii. (2005) PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS. Mathematical Finance 15:3, 393-424
Online publication date: 1-Aug-2005.
CrossRef

M. Manstavicius. (2005) Hausdorff-Besicovitch Dimension of Graphs and p-Variation. Lithuanian Mathematical Journal 45:3, 292-298
Online publication date: 1-Aug-2005.
CrossRef

Ana-Maria Matache, Christoph Schwab, Thomas P. Wihler. (2005) Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance. SIAM Journal on Scientific Computing 27:2, 369
Online publication date: 1-Feb-2005.
CrossRef

Jeannette H.C. Woerner. (2004) ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES. Econometric Theory 20:05,
Online publication date: 1-Nov-2004.
CrossRef

Mark Broadie, Jerome B. Detemple. (2004) 50th ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. Management Science 50:9, 1145-1177
Online publication date: 1-Oct-2004.
CrossRef

Jing-zhi Huang, Liuren Wu. (2004) Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes. The Journal of Finance 59:3, 1405-1440
Online publication date: 1-Jul-2004.
CrossRef

Jan Večeř, Mingxin Xu. (2004) Pricing Asian options in a semimartingale model. Quantitative Finance 4:2, 170-175
Online publication date: 1-May-2004.
CrossRef

Ajay Khanna, Dilip Madan. (2004) Understanding option prices. Quantitative Finance 4:1, 55-63
Online publication date: 1-Mar-2004.
CrossRef

Peter Carr, Helyette Geman, Dilip B. Madan, Marc Yor. (2003) Stochastic Volatility for Levy Processes. Mathematical Finance 13:3, 345-382
Online publication date: 1-Aug-2003.
CrossRef

Peter Carr, Liuren Wu. (2003) The Finite Moment Log Stable Process and Option Pricing. The Journal of Finance 58:2, 753-778
Online publication date: 1-May-2003.
CrossRef

Manuel Morales, Wim Schoutens. (2003) A risk model driven by Lvy processes. Applied Stochastic Models in Business and Industry 19:2, 147-167
Online publication date: 1-May-2003.
CrossRef

S I Boyarchenko, S Z Levendorskii. (2003) Pricing of perpetual Bermudan options. Quantitative Finance 2:6, 432-442
Online publication date: 1-Jan-2003.
CrossRef

• We would like to thank seminar participants at Princeton University, the University of Aarhus, University of Freiburg, Eidengenössische Technische Hochschule Zurich, the University of Chicago, the University of Massachusetts—Amherst, the International Center for Business Information (ICBI) Global Derivatives 2000 meeting, the meeting of the World Congress of Mathematicians in Barcelona, the workshop in mathematical finance at Carnegie Mellon, and the conference in financial markets at the University of Warwick, for their comments and discussion, and, in particular, David Heath, Ajay Khanna, Sebastian Raible, and Liuren Wu. Dilip Madan would also like to acknowledge Centre de Recherches sur la Gestion at the Université Paris IX‐Dauphine for their support of his visit, where he completed part of the work on this project.