SELF-DECOMPOSABILITY AND OPTION PRICING

DOI10.1111/J.1467-9965.2007.00293.XzbMath1278.91157OpenAlexW2111648184MaRDI QIDQ3446058

Peter Carr, Dilip B. Madan, Hélyette Geman, Marc Yor

Publication date: 8 June 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00293.x

zbMATH Keywords

scaling additive processes Ornstein-Uhlenbeck processes background driving Lévy processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Self-similar stochastic processes (60G18)

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