ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS

DOI10.1111/mafi.12056zbMath1348.91272OpenAlexW2165918124MaRDI QIDQ2799997

Marc Yor, Dilip B. Madan

Publication date: 14 April 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12056

zbMATH Keywords

variance gammageneralized gamma convolutiondiscounting processabnormal earningsmartingale limits

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Pricing options on mean reverting underliers ⋮ Financial jeopardy ⋮ Bid and ask prices as non-linear continuous time G-expectations based on distortions

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