Option pricing for a logstable asset price model
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Publication:1596871
DOI10.1016/S0895-7177(99)00096-5zbMATH Open0990.91022OpenAlexW1986033921MaRDI QIDQ1596871FDOQ1596871
Authors: Simon R. Hurst, Eckhard Platen, Svetlozar T. Rachev 
Publication date: 5 May 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00096-5
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Cited In (46)
- Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
- Option pricing based on geometric stable processes and minimal entropy martingale measures
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
- Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance
- Modelling tail risk with tempered stable distributions: an overview
- Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
- Margrabe's option to exchange in a Paretian-stable subordinated market.
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- A testable version of the Pareto-Stable CAPM
- Boundary behavior of harmonic functions for truncated stable processes
- Option pricing for log-symmetric distributions of returns
- Target volatility option pricing in the lognormal fractional SABR model
- A subdiffusive stochastic volatility jump model
- A non-Gaussian option pricing model with skew
- Option pricing for time-change exponential Lévy model under MEMM
- Option prices under generalized pricing kernels
- A possible way of estimating options with stable distributed underlying asset prices
- Option pricing under deformed Gaussian distributions
- OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing -- through discrete differential method
- Option price and market instability
- A simple model for option pricing with jumping stochastic volatility
- Symmetric jump processes and their heat kernel estimates
- Option pricing for stable and infinitely divisible asset returns
- A general theory of option pricing
- A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
- Option pricing theory for financial assets with memory
- Delta hedging strategies comparison
- The GARCH-stable option pricing model
- Random volatility and option prices with the generalized Student-\(t\) distribution
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- Is there an informationally passive benchmark for option pricing incorporating maturity?
- Asymmetrically tempered stable distributions with applications to finance
- Weighted Poincaré inequality and heat kernel estimates for finite range jump processes
- Maximum likelihood estimation of stable Paretian models.
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting
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- Practical computing for finite moment log-stable distributions to model financial risk
- Modeling chinese stock returns with stable distribution
- The relative entropy in CGMY processes and its applications to finance
- Alternative asset-price dynamics and volatility smile
- Option pricing with non-Gaussian scaling and infinite-state switching volatility
- Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
- Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time
- Multi-modal tempered stable distributions and prosses with applications to finance
- SELF-DECOMPOSABILITY AND OPTION PRICING
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