Option pricing in bilateral Gamma stock models

DOI10.1524/stnd.2009.1048zbMath1201.91201arXiv1907.09862OpenAlexW2155532778MaRDI QIDQ3061268

Stefan Tappe, Uwe Küchler

Publication date: 14 December 2010

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.09862

zbMATH Keywords

option pricingbilateral Esscher transformminimal martingale measurebilateral Gamma stockmodel

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ Option pricing in a conditional bilateral Gamma model ⋮ The behavioral implications of the bilateral gamma process ⋮ Exponential stock models driven by tempered stable processes ⋮ Tempered stable distributions and processes ⋮ Mixed tempered stable distribution

This page was built for publication: Option pricing in bilateral Gamma stock models