Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component

DOI10.1007/S00780-010-0138-4zbMath1256.60009OpenAlexW1977378147MaRDI QIDQ1761432

Xianqiang Yang

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0138-4

zbMATH Keywords

inverse probleminfinitely divisible distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• The minimal entropy martingale measures for geometric Lévy processes
• Option price when the stock is a semimartingale
• Stochastic flow approach to Dupire's formula
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing

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