Exchange Option Pricing Under Variance Gamma-Like Models

DOI10.1080/1350486X.2023.2248791zbMath1522.91273arXiv2207.00453OpenAlexW4386217554MaRDI QIDQ6047093

Piergiacomo Sabino, Matteo Gardini

Publication date: 9 October 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.00453

zbMATH Keywords

Lévy processesderivative pricingenergy marketsexchange options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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