OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (Q4522657): Difference between revisions
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| Property / cites work: Processes of normal inverse Gaussian type / rank | |||
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| Property / cites work: Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024900000541 / rank | |||
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| Property / OpenAlex ID: W2018952448 / rank | |||
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Latest revision as of 10:39, 30 July 2024
scientific article; zbMATH DE number 1548406
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING FOR TRUNCATED LÉVY PROCESSES |
scientific article; zbMATH DE number 1548406 |
Statements
OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (English)
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5 July 2001
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Lévy processes
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Black-Scholes equation
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risk-minimizing portfolio
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