The relative entropy in CGMY processes and its applications to finance

DOI10.1007/s00186-006-0097-xzbMath1143.60035OpenAlexW2033346448MaRDI QIDQ2472193

Yanyan Li

Publication date: 20 February 2008

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0097-x

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Measures of information, entropy (94A17)

Related Items

Multi-modal tempered stable distributions and prosses with applications to finance, Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process, Option pricing and hedging under a stochastic volatility Lévy process model, Tempered stable process, first passage time, and path-dependent option pricing, A New Tempered Stable Distribution and Its Application to Finance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The minimal entropy martingale measures for geometric Lévy processes
• Option pricing for a logstable asset price model
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Financial Modelling with Jump Processes