A note on the mean correcting martingale measure for geometric Lévy processes
type: Item
instance of: scholarly article
title: A note on the mean correcting martingale measure for geometric Lévy processes
zbMATH Open document ID: 1210.91139
author: Gang Yang
author: Luogen Yao
author: Xiangqun Yang
published in: Applied Mathematics Letters
publication date: 2011-03-10T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 5864260
zbMATH Keywords: European call option
zbMATH Keywords: equivalent martingale measure
zbMATH Keywords: Lévy process
zbMATH Keywords: mean correcting martingale measure
MaRDI profile type: Publication
full work available at URL: j.aml.2010.11.011
OpenAlex ID: W2021963590
cites work: Q4856610
cites work: On the range of options prices
DOI: 10.1016/J.AML.2010.11.011
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description: scientific article; zbMATH DE number 5864260