Asymptotic option pricing under a pure jump process

zbMath1132.91015MaRDI QIDQ2479681

Seongjoo Song

Publication date: 1 April 2008

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

zbMATH Keywords

weak convergenceoption pricingcompound Poisson processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression ⋮ Asymptotic option price with bounded expected loss

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