APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING

DOI10.1142/S0219024910005681zbMath1206.91079OpenAlexW3122846793MaRDI QIDQ3560080

John Crosby, Nolwenn le Saux, Aleksandar Mijatović

Publication date: 19 May 2010

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

Full work available at URL: https://doi.org/10.1142/s0219024910005681

zbMATH Keywords

Lévy processbarrier optionspricing of derivative securitiesCGMY/KoBol modelhyperexponential jump-diffusion process

Mathematics Subject Classification ID

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

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