Risk premia in option markets

DOI10.1007/s10436-016-0273-9zbMath1398.91607OpenAlexW3125245597MaRDI QIDQ300692

Dilip B. Madan

Publication date: 28 June 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0273-9

zbMATH Keywords

long horizon returnsself decomposable lawvariance gammavector auto regression

Mathematics Subject Classification ID

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Cites Work

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• Self-similar processes with independent increments
• SELF-DECOMPOSABILITY AND OPTION PRICING
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous

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