Margrabe's option to exchange in a Paretian-stable subordinated market.

DOI10.1016/S0895-7177(01)00126-1zbMath1090.91546MaRDI QIDQ1600539

A. Vollert

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

FinanceReal options\(\alpha\)-stable distributionOption pricingSubordinationNon-Gaussian processes

Mathematics Subject Classification ID

Stochastic processes (60G99)

Related Items

Option pricing for time-change exponential Lévy model under MEMM ⋮ Practical computing for finite moment log-stable distributions to model financial risk

Uses Software

• STABLE

Cites Work

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• Option pricing for a logstable asset price model
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Numerical calculation of stable densities and distribution functions
• Portfolio Analysis in a Stable Paretian Market