Factor models for option pricing

DOI10.1007/s10690-011-9151-7zbMath1282.91324OpenAlexW2140970775MaRDI QIDQ1934585

Peter Carr, Dilip B. Madan

Publication date: 29 January 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-011-9151-7

zbMATH Keywords

characteristic functionsvariance gammaindex options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Processes of normal inverse Gaussian type
• Hyperbolic distributions in finance
• Time Changes for Lévy Processes
• The Variance Gamma Process and Option Pricing

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