Option pricing proposals under the generalized hyperbolic model

DOI10.1080/15326349708807455zbMath0893.90016OpenAlexW1999969157MaRDI QIDQ4371860

Aleksander Weron, Aleksander Rejman, Rafał Weron

Publication date: 21 January 1998

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349708807455

zbMATH Keywords

subordinationrandomizationexponential tiltinghyperbolic lawsoption pricesCox-Ross-Rubinstein model

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

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