A new generalized European option pricing model and the properties

MaRDI QIDQ5383530zbMATHFDO

Authors Lin Xiao, Xiangqun Yang

Publication date 21 June 2019

zbMATH Keywords

option pricingmartingale methodgeneralized European optionrandom expiration time

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)

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Cited in

(4)

• European option pricing model with generalized Ornstein-Uhlenbeck process under stochastic earning yield and stochastic dividend yield
• Pricing of generalized compound options with random execution time
• scientific article; zbMATH DE number 6453652 (Why is no real title available?)
• scientific article; zbMATH DE number 5909250 (Why is no real title available?)

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