SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058)

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SELF-DECOMPOSABILITY AND OPTION PRICING
scientific article

    Statements

    title
    SELF-DECOMPOSABILITY AND OPTION PRICING (English)
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    author
    Peter Carr
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    Hélyette Geman
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    Dilip B. Madan
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    Marc Yor
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    publication date
    8 June 2007
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    zbMATH Keywords
    additive processes
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    scaling
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    background driving Lévy processes
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    Ornstein-Uhlenbeck processes
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H30
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    60G18
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    zbMATH DE Number
    5163051
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