Option pricing for symmetric Lévy returns with applications
DOI10.1007/s10690-014-9192-9zbMath1368.91171arXiv1402.1554OpenAlexW2043617966WikidataQ57712709 ScholiaQ57712709MaRDI QIDQ2398586
Ying-Oon Tan, Fima C. Klebaner, Kais Hamza, Zinoviy Landsman
Publication date: 16 August 2017
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.1554
Lévy processesequivalent martingale measureoption pricingsymmetric distributionrisk-neutral pricingvariance gamma processnormal inverse Gaussian process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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