Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure

DOI10.1016/j.cam.2018.06.046zbMath1416.91381OpenAlexW2810460828MaRDI QIDQ1789724

Yanyan Li

Publication date: 10 October 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.06.046

zbMATH Keywords

stochastic processesoption pricingfuzzy set theorydecision-making

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Theory of fuzzy sets, etc. (03E72) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Geometric approximations to transition densities of jump-type Markov processes

Cites Work

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