scientific article; zbMATH DE number 1096552

MaRDI QIDQ4372469zbMATH OpenFDO

Authors Ulrich Keller

Publication date 12 December 1997

zbMATH Keywords

empirical analysisEsscher transformshyperbolic modelLévy processesoption pricingparametric martingale measuresstock returns

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(4)

• Computation of copulas by Fourier methods
• On some classes of continuous time series models and their use in financial economics.
• Arithmetic average options in the hyperbolic model
• Comparison of option prices in semimartingale models

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