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Pricing options on mean reverting underliers - MaRDI portal

Pricing options on mean reverting underliers (Q4555092)

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scientific article; zbMATH DE number 6981209
Language Label Description Also known as
English
Pricing options on mean reverting underliers
scientific article; zbMATH DE number 6981209

    Statements

    title
    Pricing options on mean reverting underliers (English)
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    author
    Dilip B. Madan
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    publication date
    19 November 2018
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    zbMATH Keywords
    measure change
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    numeraire selection
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    variance gamma
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    square root process
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    Identifiers

    zbMATH DE Number
    6981209
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    OpenAlex ID
    W3124413918
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