Implied price processes anchored in statistical realizations

DOI10.3934/fmf.2021008zbMath1500.91138OpenAlexW4285721383MaRDI QIDQ2085829

Dilip B. Madan, King-Hang Wang

Publication date: 19 October 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2021008

zbMATH Keywords

valuation equilibriaequivalent Lévy processesV-shaped measure change

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Variance Gamma Process and Option Pricing

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