Option pricing generators

DOI10.3934/fmf.2023012zbMath1520.91399MaRDI QIDQ6134133

Peter Carr, Umberto Cherubini

Publication date: 25 July 2023

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

monoidscopula functionspseudo-additionimplied distributionsLamperti transforms

Mathematics Subject Classification ID

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

Cites Work

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• An introduction to copulas.
• Pseudo-additive measures and integrals
• Decomposable capacities, distorted probabilities and concave capacities
• Possible generalization of Boltzmann-Gibbs statistics.
• Extensions and distortions of \(\lambda\)-fuzzy measures
• Additive logistic processes in option pricing
• THE RANGE OF TRADED OPTION PRICES
• Fuzzy measures and asset prices: accounting for information ambiguity
• Statistical Metrics

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