General theory of geometric Lévy models for dynamic asset pricing

DOI10.1098/rspa.2011.0670zbMath1364.91148arXiv1111.2169OpenAlexW2155538173WikidataQ62272437 ScholiaQ62272437MaRDI QIDQ5345963

Lane P. Hughston, Dorje C. Brody, Ewan MacKie

Publication date: 7 June 2017

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.2169

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Dam rain and cumulative gain
• LÉVY SIMPLE STRUCTURAL MODELS
• Option pricing when underlying stock returns are discontinuous
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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