Extracting market information from equity options with exponential Lévy processes

Frank J. Fabozzi; Arturo Leccadito; Radu S. Tunaru

Year of publication:	2014
Authors:	Fabozzi, Frank J. ; Leccadito, Arturo ; Tunaru, Radu S.
Published in:	Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 38.2014, p. 125-141
Subject:	Risk-neutral density \| Exponential Lévy processes \| Pricing kernel \| Relative risk-aversion coefficient \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Risikoaversion \| Risk aversion \| Optionsgeschäft \| Option trading \| Statistische Verteilung \| Statistical distribution

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