Option pricing for a logstable asset price model

DOI10.1016/S0895-7177(99)00096-5zbMath0990.91022OpenAlexW1986033921MaRDI QIDQ1596871

Eckhard Platen, Simon R. Hurst, 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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Simple consistent estimators of stable distribution parameters
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• On Feedback Effects from Hedging Derivatives

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