Option pricing for time-change exponential Lévy model under MEMM

DOI10.1007/s10255-007-0403zbMath1135.60318OpenAlexW1991675906MaRDI QIDQ2480093

Jianping Wan, Xu Chen

Publication date: 31 March 2008

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-007-0403

zbMATH Keywords

Lévy processessubordinationoption pricingtime-changeMEMM

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model

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