The mean correcting martingale measures for exponential additive processes

DOI10.1007/S11766-016-3135-3MaRDI QIDQ320605zbMATH OpenOpenAlexFDO

Authors Luogen Yao, Xiangqun Yang, Gang Yang

Publication date 6 October 2016

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-016-3135-3

zbMATH Keywords

option pricingadditive processesmean correcting martingale measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57)

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Cites work

• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• A Discrete Time Equivalent Martingale Measure
• A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
• Lévy term structure models: no-arbitrage and completeness
• On the Existence of Minimax Martingale Measures
• Stochastic Volatility for Lévy Processes
• The minimal entropy martingale measure and the valuation problem in incomplete markets
• The minimal entropy martingale measures for geometric Lévy processes

Cited in

(6)

• scientific article; zbMATH DE number 5840049 (Why is no real title available?)
• A note on the mean correcting martingale measure for geometric Lévy processes
• Processes of Meixner type
• Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous s. p. d. e. 's
• Mean correcting martingale measure for exponential semimartingale market models
• Mean correcting transform method of martingale measures for geometric Lévy processes and its application

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