The relative entropy in CGMY processes and its applications to finance

DOI10.1007/s00186-006-0097-xzbMath1143.60035MaRDI QIDQ2472193

Yanyan Li

Publication date: 20 February 2008

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-006-0097-x

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

60E10: Characteristic functions; other transforms

91B24: Microeconomic theory (price theory and economic markets)

60G44: Martingales with continuous parameter

60G52: Stable stochastic processes

94A17: Measures of information, entropy

Related Items

A New Tempered Stable Distribution and Its Application to Finance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The minimal entropy martingale measures for geometric Lévy processes
• Option pricing for a logstable asset price model
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Financial Modelling with Jump Processes