Sato processes and the valuation of structured products

DOI10.1080/14697680701861419zbMath1171.91327OpenAlexW3123626266MaRDI QIDQ3182646

Dilip B. Madan, Ernst Eberlein

Publication date: 12 October 2009

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

Full work available at URL: https://doi.org/10.1080/14697680701861419

zbMATH Keywords

stochastic processesstochastic volatilityLévy processmathematical financeequity options

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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