A note on the mean correcting martingale measure for geometric Lévy processes (Q628236)
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scientific article; zbMATH DE number 5864260
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| English | A note on the mean correcting martingale measure for geometric Lévy processes |
scientific article; zbMATH DE number 5864260 |
Statements
A note on the mean correcting martingale measure for geometric Lévy processes (English)
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10 March 2011
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European call option
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equivalent martingale measure
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Lévy process
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mean correcting martingale measure
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0.95461553
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0.89684284
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0.89030194
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0.8768103
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0.8743051
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0.8738327
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