Pricing average options under time-changed Lévy processes

DOI10.1007/s11147-013-9091-7zbMath1285.91134OpenAlexW3123047504MaRDI QIDQ2447509

Akira Yamazaki

Publication date: 25 April 2014

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-013-9091-7

zbMATH Keywords

time-changed Lévy processesaffine processesGram-Charlier expansionaverage optionsquadratic Gaussian processes

Mathematics Subject Classification ID

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

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