Hyperbolic distributions in finance

DOI10.2307/3318481zbMath0836.62107OpenAlexW4235708440MaRDI QIDQ1904973

Ernst Eberlein, Ulrich Keller

Publication date: 6 May 1996

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1193667819

zbMATH Keywords

option pricingEsscher transformderivative securitieshyperbolic distributionsabsolute continuous change of measureBlack-Scholes pricingdistributional form of compound returnshyperbolic Levy motionstock price datavaluation formula

Mathematics Subject Classification ID

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