Analytic techniques for option pricing under a hyperexponential Lévy model

DOI10.1016/j.cam.2018.03.036zbMath1422.91699arXiv1705.05934OpenAlexW2963445804MaRDI QIDQ1639540

Daniel Hackmann

Publication date: 13 June 2018

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

Full work available at URL: https://arxiv.org/abs/1705.05934

zbMATH Keywords

asymptotic expansionoption pricingLévy processimplied volatilityGreekshyperexponential

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Ergodic estimators of double exponential Ornstein-Uhlenbeck processes ⋮ Proactive hedging European call option pricing with linear position strategy

Cites Work

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