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zbMath1187.91212MaRDI QIDQ3656129

Yoshio Miyahara, Naruhiko Moriwaki

Publication date: 13 January 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

incomplete market option pricing calibration Lévy process stable process minimal entropy martingale measure fat tail

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Regulation Risk ⋮ Option pricing with discrete time jump processes

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