Pricing options on mean reverting underliers

DOI10.1080/14697688.2016.1219764zbMath1402.91803OpenAlexW3124413918MaRDI QIDQ4555092

Dilip B. Madan

Publication date: 19 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2016.1219764

zbMATH Keywords

variance gammameasure changesquare root processnumeraire selection

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)

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