Option pricing in a conditional bilateral Gamma model

DOI10.1007/s10100-013-0286-7zbMath1339.91113OpenAlexW2010369461MaRDI QIDQ301218

Lorenzo Mercuri, Fabio Bellini

Publication date: 30 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10281/30641

zbMATH Keywords

GARCHbilateral Esscher transformbilateral gammasemianalytical pricingSPX options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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