OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

DOI10.1142/S0219024900000541zbMath0973.91037OpenAlexW2018952448MaRDI QIDQ4522657

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 5 July 2001

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024900000541

zbMATH Keywords

Lévy processesBlack-Scholes equationrisk-minimizing portfolio

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Processes of normal inverse Gaussian type
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

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