Application of VG distortion operator in option pricing

MaRDI QIDQ6997661zbMATH OpenFDO

Authors Luogen Yao, Huan Liu, Qiqiong Chen

Publication date 14 April 2025

Published in Acta Mathematica Scientia. Series A. (Chinese Edition) (Search for Journal in Brave)

Full work available at URL http://121.43.60.238/sxwlxbA/EN/abstract/abstract17135.shtml

zbMATH Keywords

option pricingVG distortion operatorVG distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A general class of distortion operators for pricing contingent claims with applications to CAT bonds
• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
• Option pricing when underlying stock returns are discontinuous
• Option Pricing With V. G. Martingale Components¹
• The distortion principle for insurance pricing: properties, identification and robustness
• The Variance Gamma Process and Option Pricing

This page was built for publication: Application of VG distortion operator in option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6997661)