scientific article; zbMATH DE number 1897415

zbMATH Open1057.91042MaRDI QIDQ4802410FDOQ4802410

Authors: Yoshio Miyahara, A. Novikov 

Publication date: 27 April 2003

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

Recommendations

• Geometric Lévy process \& MEMM pricing model and related estimation problems
• Equivalent martingale measures for Lévy processes
• The minimal entropy martingale measures for geometric Lévy processes
• Option pricing in incomplete markets. Modeling based on geometric Lévy processes and minimal entropy martingale measures.
• scientific article; zbMATH DE number 2118533

zbMATH Keywords

pricing derivativesminimal relative entropy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (12)

• Option pricing based on geometric stable processes and minimal entropy martingale measures
• Title not available (Why is that?)
• PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
• Lévy processes in finance: inverse problems and modeling of dependence.
• Indifference pricing of contingent claims on NIG Lévy model
• Pricing and completion in a Lévy market model with Teugel martingales
• General theory of geometric Lévy models for dynamic asset pricing
• Option pricing in incomplete markets. Modeling based on geometric Lévy processes and minimal entropy martingale measures.
• Multi-factor Lévy models for pricing financial and energy derivatives
• Title not available (Why is that?)
• Geometric Lévy process \& MEMM pricing model and related estimation problems

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4802410)