Momentum and reversion in risk neutral martingale probabilities

DOI10.1080/14697688.2014.896999zbMath1308.91167OpenAlexW3123983465MaRDI QIDQ5245350

Dilip B. Madan

Publication date: 8 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2014.896999

zbMATH Keywords

Markov processesLévy processnon-Gaussian option pricingcontinuous-time modelsfinancial modellingderivative pricing modelsequity optionsmethodology of pricing derivatives

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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