General theory of geometric Lévy models for dynamic asset pricing
From MaRDI portal
Publication:5345963
DOI10.1098/rspa.2011.0670zbMath1364.91148arXiv1111.2169OpenAlexW2155538173WikidataQ62272437 ScholiaQ62272437MaRDI QIDQ5345963
Lane P. Hughston, Dorje C. Brody, Ewan MacKie
Publication date: 7 June 2017
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.2169
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (14)
Lévy models for collapse of the wave function ⋮ Electricity futures price models: calibration and forecasting ⋮ LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS ⋮ Affordable and adequate annuities with stable payouts: fantasy or reality? ⋮ NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING ⋮ Ratchet consumption over finite and infinite planning horizons ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ Lévy-Ito models in finance ⋮ Lévy information and the aggregation of risk aversion ⋮ Computation of powered option prices under a general model for underlying asset dynamics ⋮ Rational multi-curve models with counterparty-risk valuation adjustments ⋮ DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS ⋮ COHERENT CHAOS INTEREST-RATE MODELS ⋮ Rational term structure models with geometric Lévy martingales
Cites Work
- Pricing contingent claims on stocks driven by Lévy processes
- On the range of options prices
- The minimal entropy martingale measures for geometric Lévy processes
- Lévy term structure models: no-arbitrage and completeness
- Hyperbolic distributions in finance
- Minimal entropy preserves the Lévy property: how and why
- Term Structure Models Driven by General Levy Processes
- Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Option Pricing With V. G. Martingale Components1
- The Variance Gamma Process and Option Pricing
- Dam rain and cumulative gain
- LÉVY SIMPLE STRUCTURAL MODELS
- Option pricing when underlying stock returns are discontinuous
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
This page was built for publication: General theory of geometric Lévy models for dynamic asset pricing
