Factor models for option pricing

DOI10.1007/S10690-011-9151-7MaRDI QIDQ1934585zbMATH OpenOpenAlexFDO

Authors Peter Carr, Dilip B. Madan

Publication date 29 January 2013

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-011-9151-7

zbMATH Keywords

characteristic functionsindex optionsvariance gamma

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Hyperbolic distributions in finance
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Processes of normal inverse Gaussian type
• The pricing of options and corporate liabilities
• The Variance Gamma Process and Option Pricing
• Time changes for Lévy processes

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