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

DOI10.1016/S0895-7177(01)00126-1MaRDI QIDQ1600539zbMATH OpenFDO

Authors A. Vollert

Publication date 13 June 2002

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Stochastic processes (60G99)

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Cites work

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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Martingales and stochastic integrals in the theory of continuous trading
• Numerical calculation of stable densities and distribution functions
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Option pricing for a logstable asset price model
• Portfolio Analysis in a Stable Paretian Market
• The pricing of options and corporate liabilities

Cited in

(3)

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

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Uses Software

• STABLE

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