DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS

DOI10.1142/S0219024919500080zbMath1419.91605arXiv1811.07220MaRDI QIDQ3121231

Lane P. Hughston, George Bouzianis

Publication date: 15 March 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.07220

zbMATH Keywords

Lévy processesasset pricingoption pricingLévy exponentLévy modelsexponential momentsoption replicationpower payoffs

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Lévy-Ito models in finance ⋮ The value of power-related options under spectrally negative Lévy processes

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