Asymptotic option pricing under pure-jump Lévy processes via nonlinear regression

DOI10.1016/J.JKSS.2010.10.001zbMath1296.91268OpenAlexW2068863951MaRDI QIDQ458120

Seongjoo Song, Jongwoo Song, Jaehong Jeong

Publication date: 30 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.10.001

zbMATH Keywords

asymptotic expansionoption pricingLévy processnonlinear regression

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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