Option valuation with infinitely divisible distributions

DOI10.1080/14697680400016125MaRDI QIDQ4610261zbMATH OpenOpenAlexFDO

Authors Steven L. Heston

Publication date 15 January 2019

Full work available at URL https://doi.org/10.1080/14697680400016125

zbMATH Keywords

American optionsinfinitely divisible distributionsoption valuation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Infinitely Divisible Distributions and Bessel Functions Associated with Random Walks
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• Stochastic Volatility for Lévy Processes
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities
• Theory of Financial Risk and Derivative Pricing

Cited in

(11)

• Option pricing for stable and infinitely divisible asset returns
• Gram-Charlier processes and applications to option pricing
• Additive logistic processes in option pricing
• Option valuation with conditional skewness
• A moments approach to option valuation models
• Option pricing for infinite variance data
• scientific article; zbMATH DE number 1491042 (Why is no real title available?)
• Distributional divergence, statistical experiments and consequences in option pricing
• Johnson binomial trees
• Equilibrium preference free pricing of derivatives under the generalized beta distributions
• Infinite reload options: pricing and analysis

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