Additive logistic processes in option pricing

DOI10.1007/s00780-021-00461-8zbMath1475.91352OpenAlexW3196590914MaRDI QIDQ2238772

Lorenzo Torricelli, Peter Carr

Publication date: 2 November 2021

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

Full work available at URL: https://doi.org/10.1007/s00780-021-00461-8

zbMATH Keywords

logistic distributionadditive processesderivative pricingdagum distributiongeneralised \(z\)-distributions

Mathematics Subject Classification ID

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

Related Items (4)

Optionality as a binary operation ⋮ Total positivity and relative convexity of option prices ⋮ Option pricing generators ⋮ A fast Monte Carlo scheme for additive processes and option pricing

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