Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time
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Publication:939389
DOI10.1016/j.insmatheco.2007.06.001zbMath1141.91538OpenAlexW2023803866MaRDI QIDQ939389
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.06.001
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Related Items (3)
Uniqueness of the embedding continuous convolution semigroup of a Gaussian probability measure on the affine group and an application in mathematical finance ⋮ Uniqueness of embedding into a Gaussian semigroup and a Poisson semigroup with determinate jump law on a simply connected nilpotent Lie group ⋮ On multivariate power series of random variables satisfying some hierarchy conditions
Cites Work
- Fourier analysis and limit theorems for convolution semigroups on a locally compact group
- Probabilities on the Heisenberg group: limit theorems and Brownian motion
- \(s\)-stable laws in insurance and finance and generalization to nilpotent Lie groups
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