A note on the mean correcting martingale measure for geometric Lévy processes

DOI10.1016/j.aml.2010.11.011zbMath1210.91139OpenAlexW2021963590MaRDI QIDQ628236

Gang Yang, Xiang-Qun Yang, Luo Gen Yao

Publication date: 10 March 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2010.11.011

zbMATH Keywords

equivalent martingale measureLévy processmean correcting martingale measureEuropean call option

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• On the range of options prices
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