On a Heath-Jarrow-Morton approach for stock options

DOI10.1007/s00780-015-0263-1zbMath1390.91302arXiv1305.5621OpenAlexW2146707610MaRDI QIDQ2516770

Paul Krühner, Jan Kallsen

Publication date: 4 August 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.5621

zbMATH Keywords

Lévy processesHeath-Jarrow-Mortonoption price surfaces

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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