Margrabe's option to exchange in a Paretian-stable subordinated market.
type: Item
instance of: scholarly article
title: Margrabe's option to exchange in a Paretian-stable subordinated market.
zbMATH Open document ID: 1090.91546
DOI: 10.1016/S0895-7177(01)00126-1
author: A. Vollert
published in: Mathematical and Computer Modelling
publication date: 2002-06-13T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60G99
zbMATH DE Number: 1755437
zbMATH Keywords: Finance
zbMATH Keywords: Option pricing
zbMATH Keywords: Real options
zbMATH Keywords: Non-Gaussian processes
zbMATH Keywords: \(\alpha\)-stable distribution
zbMATH Keywords: Subordination
describes a project that uses: STABLE
MaRDI profile type: Publication
cites work: Q5512461
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description: scientific article; zbMATH DE number 1755437