Option pricing for symmetric Lévy returns with applications
Kais Hamza; Fima C. Klebaner; Zinoviy Landsman; Ying-Oon Tan
| Year of publication: |
2015
|
|---|---|
| Authors: | Hamza, Kais ; Klebaner, Fima C. ; Landsman, Zinoviy ; Tan, Ying-oon |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 1, p. 27-52
|
| Subject: | Symmetric distribution | Lévy processes | Equivalent martingale measure | Risk-neutral pricing | Option pricing | Variance Gamma process | Normal Inverse Gaussian process | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | Martingal | Martingale | CAPM |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010511553