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Momentum and reversion in risk neutral martingale probabilities - MaRDI portal

Momentum and reversion in risk neutral martingale probabilities (Q5245350)

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scientific article; zbMATH DE number 6423397
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English
Momentum and reversion in risk neutral martingale probabilities
scientific article; zbMATH DE number 6423397

    Statements

    title
    Momentum and reversion in risk neutral martingale probabilities (English)
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    author
    Dilip B. Madan
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    publication date
    8 April 2015
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    zbMATH Keywords
    continuous-time models
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    derivative pricing models
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    equity options
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    financial modelling
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    Lévy process
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    Markov processes
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    methodology of pricing derivatives
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    non-Gaussian option pricing
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    Identifiers

    zbMATH DE Number
    6423397
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    OpenAlex ID
    W3123983465
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