Subordination, self-similarity, and option pricing

DOI10.1155/2008/397028zbMath1156.91454OpenAlexW1989849954WikidataQ58643905 ScholiaQ58643905MaRDI QIDQ1009413

Craig A. Nolder, Mack L. Galloway

Publication date: 1 April 2009

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/129663

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Geometric Brownian motion with tempered stable waiting times ⋮ Option pricing in subdiffusive Bachelier model ⋮ SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Hyperbolic distributions in finance
• Louis Bachelier on the Centenary of Theorie de la Speculation
• Sato processes and the valuation of structured products
• Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Lévy processes, polynomials and martingales
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Stochastic Volatility for Lévy Processes
• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Bounds for modified Bessel functions
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