Models for option pricing based on empirical characteristic function of returns

DOI10.4064/BC90-0-1MaRDI QIDQ3083383zbMATH OpenOpenAlexFDO

Authors Karol Binkowski, Andrzej S. Kozek

Publication date 21 March 2011

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc90-0-1

zbMATH Keywords

option pricingempirical characteristic functionimplied parametersLévy processes

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Lewis model revisited: option pricing with Lévy processes
• Uniform convergence of empirical characteristic functions in a complex domain with applications to option pricing
• scientific article; zbMATH DE number 1500698 (Why is no real title available?)

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