Compound Cox processes and option pricing

DOI10.1023/A:1011326717366zbMATH Open1012.91023MaRDI QIDQ1600611FDOQ1600611

Authors: D. E. Kascheev 

Publication date: 16 June 2002

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

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zbMATH Keywords

option pricingBrownian motionmartingale measureEsscher transformCox processLévy process geometric

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cited In (3)

• Complex compound option models -- can practitioners truly operationalize them?
• Title not available (Why is that?)
• Cliquet option pricing with Meixner processes

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