Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time

DOI10.1016/J.INSMATHECO.2007.06.001zbMath1141.91538OpenAlexW2023803866MaRDI QIDQ939389

Daniel Neuenschwander

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.06.001

Mathematics Subject Classification ID

Related Items (3)

Uniqueness of the embedding continuous convolution semigroup of a Gaussian probability measure on the affine group and an application in mathematical finance ⋮ Uniqueness of embedding into a Gaussian semigroup and a Poisson semigroup with determinate jump law on a simply connected nilpotent Lie group ⋮ On multivariate power series of random variables satisfying some hierarchy conditions

Cites Work

• Fourier analysis and limit theorems for convolution semigroups on a locally compact group
• Probabilities on the Heisenberg group: limit theorems and Brownian motion
• \(s\)-stable laws in insurance and finance and generalization to nilpotent Lie groups
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