Option pricing in time-changed Lévy models with compound Poisson jumps

DOI10.15559/18-VMSTA124zbMath1457.91380arXiv2001.03064OpenAlexW3099194919MaRDI QIDQ2326531

Katsunori Ano, Roman V. Ivanov

Publication date: 8 October 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03064

zbMATH Keywords

hypergeometric functionLévy processcompound Poisson processvariance-gamma processchange of timedigital option

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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