Pricing contingent claims on stocks driven by Lévy processes

DOI10.1214/aoap/1029962753zbMath1054.91033OpenAlexW2058903005MaRDI QIDQ1305424

Publication date: 14 November 1999

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962753

zbMATH Keywords

Lévy processes option pricing incomplete markets minimal entropy martingale measures minimal martingale measure

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on discrete state spaces (60J27)

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