Margrabe's option to exchange in a Paretian-stable subordinated market.

DOI10.1016/S0895-7177(01)00126-1zbMATH Open1090.91546MaRDI QIDQ1600539FDOQ1600539

A. Vollert

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

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zbMATH Keywords

\(\alpha\)-stable distributionReal optionsFinanceOption pricingSubordinationNon-Gaussian processes

Mathematics Subject Classification ID

Stochastic processes (60G99)

Cites Work

• The pricing of options and corporate liabilities
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Title not available (Why is that?)
• Numerical calculation of stable densities and distribution functions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Martingales and stochastic integrals in the theory of continuous trading
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Portfolio Analysis in a Stable Paretian Market
• Title not available (Why is that?)
• Option pricing for a logstable asset price model

Cited In (3)

• Option pricing for time-change exponential Lévy model under MEMM
• Practical computing for finite moment log-stable distributions to model financial risk
• Closed-form approximations for spread options in Lévy markets

Uses Software

• STABLE

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