Option pricing for a logstable asset price model
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Publication:1596871
DOI10.1016/S0895-7177(99)00096-5zbMath0990.91022OpenAlexW1986033921MaRDI QIDQ1596871
Eckhard Platen, Simon R. Hurst, Svetlozar T. Rachev
Publication date: 5 May 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00096-5
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Simple consistent estimators of stable distribution parameters
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- On Feedback Effects from Hedging Derivatives
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