On option pricing under a completely random measure via a generalized Esscher transform (Q938038)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On option pricing under a completely random measure via a generalized Esscher transform |
scientific article; zbMATH DE number 5312901
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On option pricing under a completely random measure via a generalized Esscher transform |
scientific article; zbMATH DE number 5312901 |
Statements
On option pricing under a completely random measure via a generalized Esscher transform (English)
0 references
18 August 2008
0 references
option pricing
0 references
kernel-biased completely random measures
0 references
generalized gamma processes
0 references
Esscher transform
0 references
Laplace functionals
0 references
0 references
0 references
0 references
