The economics of time as it is embedded in the prices of options§

DOI10.1080/14697688.2022.2164208zbMath1518.91285OpenAlexW4319834457MaRDI QIDQ6158421

King-Hang Wang, Dilip B. Madan

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2164208

zbMATH Keywords

hypergeometric functionsadditive processesbilateral gammaself decomposable laws

Mathematics Subject Classification ID

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

Cites Work

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