On Continuity Properties for Option Prices in Exponential Lévy Models

DOI10.1137/S0040585X97984437zbMath1223.91037arXiv0904.3274OpenAlexW2023470432MaRDI QIDQ3087746

Suzanne Cawston, Lioudmila Vostrikova

Publication date: 16 August 2011

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.3274

zbMATH Keywords

Lévy processesoption pricingincomplete marketsminimal measures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations ⋮ On the minimal entropy martingale measure for Lévy processes ⋮ Modeling and Pricing Longevity Derivatives Using Stochastic Mortality Rates and the Esscher Transform

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