Option pricing in an exponential mixedts Lévy process
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Publication:1703561
DOI10.1007/s10479-016-2180-xzbMath1404.91259OpenAlexW2184018645WikidataQ115605363 ScholiaQ115605363MaRDI QIDQ1703561
Publication date: 2 March 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2434/458171
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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