Compound Cox processes and option pricing
type: Item
instance of: scholarly article
title: Compound Cox processes and option pricing
zbMATH Open document ID: 1012.91023
DOI: 10.1023/A:1011326717366
author: D. E. Kascheev
published in: Journal of Mathematical Sciences (New York)
publication date: 2002-06-16T00:00:00Z
review text: The author uses a compound Cox process to obtain a new model for the description of a financial -- asset progress employing the limit theorem for a random sum of random variables. The obtained Levy process has increments with symmetrized Gamma distribution. By applying various statistical tests it is shown that the new introduced model provides a more accurate statistical model for daily exchange rates than the geometric Brownian motion. Esscher transform has been used to find an equivalent martingale measure and the option pricing formula for a European call option.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 1756307
zbMATH Keywords: Cox process
zbMATH Keywords: option pricing
zbMATH Keywords: Lévy process geometric
zbMATH Keywords: Brownian motion
zbMATH Keywords: Esscher transform
zbMATH Keywords: martingale measure
reviewed by: C. L. Parihar
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1756307