A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING

DOI10.1142/S0219024909005221zbMath1202.91325OpenAlexW2073239625MaRDI QIDQ5324398

Claudio Tebaldi, Ludovico Perissinotto

Publication date: 3 August 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005221

zbMATH Keywords

option pricingLie groupsLie algebrascoherent statesaffine jump diffusion

Mathematics Subject Classification ID

Special processes (60K99) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Transition functions, generators and resolvents (60J35)

Cites Work

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• Wiener chaos and the Cox–Ingersoll–Ross model
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A general characterization of one factor affine term structure models

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