Determination of the Lévy exponent in asset pricing models
George Bouzianis and Lane P. Hughston
| Year of publication: |
2019
|
|---|---|
| Authors: | Bouzianis, George ; Hughston, Lane P. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 1, p. 1-18
|
| Subject: | Asset pricing | Lévy models | Lévy processes | Lévy exponent | exponential moments | option pricing | option replication | power payoffs | CAPM | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500080 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012012832