On European and Asian option pricing in the generalized hyperbolic model

DOI10.1017/S095679250400542XzbMath1138.91471OpenAlexW2044314418MaRDI QIDQ5697665

Martin Predota

Publication date: 18 October 2005

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s095679250400542x

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Dimension reduction for pricing options under multidimensional Lévy processes ⋮ A backward Monte Carlo approach to exotic option pricing ⋮ A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns ⋮ Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process

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