Models for option pricing based on empirical characteristic function of returns

DOI10.4064/BC90-0-1zbMATH Open1395.62320OpenAlexW2314836688MaRDI QIDQ3083383FDOQ3083383

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

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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)

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
• Title not available (Why is that?)

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