On continuity properties for option prices in exponential Lévy models

DOI10.1137/S0040585X97984437MaRDI QIDQ3087746zbMATH OpenOpenAlexFDO

Authors Suzanne Cawston, Lioudmila Vostrikova

Publication date 16 August 2011

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.3274

zbMATH Keywords

incomplete marketsLévy processesminimal measuresoption pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: For a converging sequence of exponential L'evy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices when no such convergence holds. We then consider two special cases, first when the martingale measure is chosen by minimisation of entropy and then when it minimises Hellinger integrals.

Recommendations

• A note on convergence of option prices and their Greeks for Lévy models
• On \(q\)-optimal martingale measures in exponential Lévy models
• Integro-differential equations for option prices in exponential Lévy models
• On the Pricing of American Options in Exponential Lévy Markets
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations

Cited in

(6)

• Integro-differential equations for option prices in exponential Lévy models
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
• Early exercise boundary and option prices in Lévy driven models
• On the minimal entropy martingale measure for Lévy processes
• A note on convergence of option prices and their Greeks for Lévy models
• Modeling and pricing longevity derivatives using stochastic mortality rates and the Esscher transform

This page was built for publication: On continuity properties for option prices in exponential Lévy models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3087746)