scientific article; zbMATH DE number 1897411

zbMATH Open1113.91320MaRDI QIDQ4802406FDOQ4802406

Authors: Paulius Jakubėnas 

Publication date: 27 April 2003

Title of this publication is not available (Why is that?)

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zbMATH Keywords

European optionconvex pay-off functionLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (13)

• Market-conform valuation of options.
• Logarithmic utility maximization in an exponential Lévy model
• Options prices in incomplete markets
• Option pricing for large agents
• Title not available (Why is that?)
• On the Pricing of American Options in Exponential Lévy Markets
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
• A Note on Market Completeness with American Put Options
• Comparison of option prices in semimartingale models
• Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model
• Markets that don't replicate any option.
• Some recent developments in stochastic volatility modelling
• Market completion using options

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