Option pricing by mean correcting method for non-Gaussian Lévy processes

DOI10.1007/s10114-013-2446-zzbMath1274.60152OpenAlexW2121130489MaRDI QIDQ381063

Gang Yang, Luo Gen Yao, Xiang-Qun Yang

Publication date: 15 November 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-013-2446-z

zbMATH Keywords

option pricingmean correcting methodnon-Gaussian Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• A note on the mean correcting martingale measure for geometric Lévy processes
• Note on option pricing by actuarial considerations
• An actuarial approach to option pricing under the physical measure and without market assumptions
• Processes of normal inverse Gaussian type
• Processes of Meixner type
• The Variance Gamma Process and Option Pricing

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