The quintessential option pricing formula under Lévy processes

DOI10.1016/j.aml.2009.05.008zbMath1171.91338OpenAlexW2081181141MaRDI QIDQ735135

Rossella Agliardi

Publication date: 14 October 2009

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

Full work available at URL: https://doi.org/10.1016/j.aml.2009.05.008

zbMATH Keywords

Lévy processesoption pricingpseudo-differential operators

Mathematics Subject Classification ID

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

Related Items (3)

A comprehensive mathematical approach to exotic option pricing ⋮ Option pricing under some Lévy-like stochastic processes ⋮ Valuation of \(N\)-stage investments under jump-diffusion processes

Cites Work

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• The cumulant process and Esscher's change of measure
• Hyperbolic distributions in finance
• Options to expand and to contract in combination
• Stochastic Volatility for Lévy Processes
• Option pricing: A simplified approach
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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