Understanding option prices

DOI10.1088/1469-7688/4/1/005MaRDI QIDQ4647596zbMATH OpenOpenAlexFDO

Authors Ajay Khanna, Dilip B. Madan

Publication date 15 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/4/1/005

zbMATH Keywords

Lévy processoption prices

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) 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
• An Intertemporal General Equilibrium Model of Asset Prices
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Optimal investment in derivative securities
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Post-'87 crash fears in the S\&P 500 futures option market
• Satisfying convex risk limits by trading
• Stochastic Volatility for Lévy Processes
• The pricing of options and corporate liabilities
• Time changes for Lévy processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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