Convex ordering criteria for Lévy processes
From MaRDI portal
Publication:477990
DOI10.1007/s11634-007-0008-xzbMath1301.91018OpenAlexW2088765274MaRDI QIDQ477990
Jan Bergenthum, Ludger Rüschendorf
Publication date: 10 December 2014
Published in: Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11634-007-0008-x
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (1)
Cites Work
- A martingale approach to premium calculation principles in an arbitrage free market
- Comparison of option prices in semimartingale models
- Comparison of semimartingales and Lévy processes
- Volatility misspecification, option pricing and superreplication via coupling
- Processes of normal inverse Gaussian type
- Incompleteness of markets driven by a mixed diffusion
- Stochastic orders in dynamic reinsurance markets
- Hyperbolic distributions in finance
- Generalized convex inequalities
- Robustness of the Black and Scholes Formula
- Coupling and option price comparisons in a jump-diffusion model
- Stochastic Volatility for Lévy Processes
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
- The Pareto-Levy Law and the Distribution of Income
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Convex ordering criteria for Lévy processes
