Compound Cox processes and option pricing

DOI10.1023/A:1011326717366zbMATH Open1012.91023MaRDI QIDQ1600611

D. E. Kascheev

Publication date: 16 June 2002

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

zbMATH Keywords

Brownian motionoption pricingmartingale measureCox processEsscher transformLévy process geometric

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

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