Mean correcting transform method of martingale measures for geometric Lévy processes and its application (Q3016967)
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scientific article; zbMATH DE number 5927061
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| English | Mean correcting transform method of martingale measures for geometric Lévy processes and its application |
scientific article; zbMATH DE number 5927061 |
Statements
19 July 2011
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Lévy processes
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option pricing
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equivalent martingale measure
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mean correcting transform
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0.9684136509895324
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0.8611450791358948
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0.8079404830932617
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0.8068142533302307
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0.7983221411705017
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