Option pricing for log-symmetric distributions of returns

DOI10.1007/s11009-007-9038-2zbMath1170.91385OpenAlexW1979420202WikidataQ57712765 ScholiaQ57712765MaRDI QIDQ835680

Zinoviy Landsman, Fima C. Klebaner

Publication date: 31 August 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-007-9038-2

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Option pricing for symmetric Lévy returns with applications ⋮ Log‐symmetric quantile regression models ⋮ A note on the coefficients of elliptical random variables

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• The cumulant process and Esscher's change of measure
• Financial Data Analysis with Two Symmetric Distributions
• Changes of numéraire, changes of probability measure and option pricing
• Portfolio Analysis in a Stable Paretian Market
• Tail Conditional Expectations for Elliptical Distributions

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