First steps towards an equilibrium theory for Lévy financial markets

DOI10.1007/s10436-012-0202-5zbMath1298.91200OpenAlexW2008493756WikidataQ57542978 ScholiaQ57542978MaRDI QIDQ470675

Frederik S. Herzberg

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-012-0202-5

zbMATH Keywords

nonstandard analysisLévy processfinancial equilibriumderivative pricingcontinuous-time financial marketsrepresentative-agent models

Mathematics Subject Classification ID

Related Items (2)

Hyperfinite construction of G-expectation ⋮ The allure of infinitesimals: Sergio Albeverio and nonstandard analysis

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