On option pricing under a completely random measure via a generalized Esscher transform

DOI10.1016/j.insmatheco.2008.03.006zbMath1140.91400OpenAlexW2042627825MaRDI QIDQ938038

John W. Lau, Tak Kuen Siu

Publication date: 18 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.03.006

zbMATH Keywords

option pricingEsscher transformgeneralized gamma processeskernel-biased completely random measuresLaplace functionals

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective ⋮ Quanto option pricing with a jump diffusion process ⋮ A Bayesian nonparametric approach to modeling market share dynamics ⋮ Exchange option pricing in jump-diffusion models based on esscher transform

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