Option pricing by probability distortion operator based on the quantile function

DOI10.1155/2019/5831569zbMATH Open1435.91193OpenAlexW2950550423WikidataQ127680663 ScholiaQ127680663MaRDI QIDQ2298583FDOQ2298583

Luogen Yao, Gang Yang

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/5831569

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• Processes of normal inverse Gaussian type
• Option pricing when underlying stock returns are discontinuous
• A note on generalized inverses
• The normal inverse gaussian lévy process: simulation and approximation
• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• On the Applicability of the Wang Transform for Pricing Financial Risks
• A Universal Framework for Pricing Financial and Insurance Risks
• Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory

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