Option valuation with infinitely divisible distributions

DOI10.1080/14697680400016125zbMath1405.91623OpenAlexW2024162024MaRDI QIDQ4610261

Steven L. Heston

Publication date: 15 January 2019

Full work available at URL: https://doi.org/10.1080/14697680400016125

zbMATH Keywords

infinitely divisible distributionsAmerican optionsoption valuation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Option valuation with conditional skewness

Cites Work

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• The Pricing of Options and Corporate Liabilities
• THE GARCH OPTION PRICING MODEL
• Stochastic Volatility for Lévy Processes
• Theory of Financial Risk and Derivative Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• Infinitely Divisible Distributions and Bessel Functions Associated with Random Walks

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