Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure
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Publication:1789724
DOI10.1016/j.cam.2018.06.046zbMath1416.91381OpenAlexW2810460828MaRDI QIDQ1789724
Publication date: 10 October 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.06.046
Processes with independent increments; Lévy processes (60G51) Theory of fuzzy sets, etc. (03E72) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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