Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse

DOI10.1080/1350486X.2016.1268926zbMath1396.62242MaRDI QIDQ4585680

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Publication date: 6 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

option pricinglong-range dependencefractional Lévy processfractional normal tempered stable (NTS) process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

An accurate European option pricing model under fractional stable process based on Feynman path integral

Cites Work

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