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Analytic techniques for option pricing under a hyperexponential Lévy model - MaRDI portal

Analytic techniques for option pricing under a hyperexponential Lévy model (Q1639540)

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Analytic techniques for option pricing under a hyperexponential Lévy model
scientific article

    Statements

    title
    Analytic techniques for option pricing under a hyperexponential Lévy model (English)
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    author
    Daniel Hackmann
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    publication date
    13 June 2018
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    zbMATH Keywords
    Lévy process
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    hyperexponential
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    option pricing
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    Greeks
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    implied volatility
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    asymptotic expansion
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    cites work
    Q5507817
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    Q4072022
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    Q4541799
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    Q4023401
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    Q5601127
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    Q3507794
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    Q3331506
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    Q4937701
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G51
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    41A60
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    zbMATH DE Number
    6887285
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    OpenAlex ID
    W2963445804
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    arXiv ID
    1705.05934
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