[GLP & MEMM] Pricing Models and Related Problems

DOI10.1142/9789812774637_0004MaRDI QIDQ5487018zbMATH OpenOpenAlexFDO

Authors Yoshio Miyahara

Publication date 18 September 2006

Published in Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789812774637_0004

zbMATH Keywords

calibrationgeometric Lévy processminimal entropy martingale measurerelative entropystable process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

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Cited in

(1)

• CVaR hedging using quantization-based stochastic approximation algorithm

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