Option pricing bounds in an a α stable security market

DOI10.1080/15326349708807453zbMath0888.90017OpenAlexW2139240325MaRDI QIDQ4371857

A. W. Janicki, Wojbor A. Woyczyński, Ivilina Popova, Peter H. Ritchken

Publication date: 21 January 1998

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349708807453

zbMATH Keywords

option pricingsecurity marketsLévy \(\alpha\)-stable motionGaussian geometric Wiener process

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation ⋮ Modeling chinese stock returns with stable distribution ⋮ Maximum likelihood estimation of stable Paretian models.

This page was built for publication: Option pricing bounds in an a α stable security market