Risk premia in option markets
type: Item
instance of: scholarly article
title: Risk premia in option markets
zbMATH Open document ID: 1398.91607
published in: Annals of Finance
publication date: 2016-06-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6599189
zbMATH Keywords: variance gamma
zbMATH Keywords: self decomposable law
zbMATH Keywords: vector auto regression
zbMATH Keywords: long horizon returns
author: Dilip B. Madan
MaRDI profile type: Publication
full work available at URL: s10436-016-0273-9
OpenAlex ID: W3125245597
cites work: SELF-DECOMPOSABILITY AND OPTION PRICING
cites work: Q5588318
cites work: Option pricing when underlying stock returns are discontinuous
cites work: The Variance Gamma Process and Option Pricing
cites work: Self-similar processes with independent increments
cites work: Q4937701
DOI: 10.1007/S10436-016-0273-9
description: scientific article; zbMATH DE number 6599189