Option pricing generators

DOI10.3934/FMF.2023012MaRDI QIDQ6134133zbMATH OpenFDO

Authors Peter Carr, Umberto Cherubini

Publication date 25 July 2023

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/FMF.2023012

zbMATH Keywords

copula functionsimplied distributionsLamperti transformsmonoidspseudo-addition

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Additive logistic processes in option pricing
• An introduction to copulas.
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• Extensions and distortions of \(\lambda\)-fuzzy measures
• Fuzzy measures and asset prices: accounting for information ambiguity
• scientific article; zbMATH DE number 3174816 (Why is no real title available?)
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 513255 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
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• Possible generalization of Boltzmann-Gibbs statistics.
• Pseudo-additive measures and integrals
• Statistical Metrics
• THE RANGE OF TRADED OPTION PRICES

Cited in

(2)

• Report on testing and finding the generating functions g of an option pricing mechanism through market data
• Bid-ask bounds for option prices: the two-tail distortion model

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