Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance
| Year of publication: |
2006-02
|
|---|---|
| Authors: | Cartea, Alvaro ; Howison, Sam |
| Institutions: | Birkbeck, Department of Economics, Mathematics & Statistics |
| Subject: | Levy-Stable processes | stable Paretian hypothesis | stochastic volatility | alpha-stable processes | option pricing | time-changed Brownian motion |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Number 0602 |
| Source: |
Persistent link: https://www.econbiz.de/10005509619