On European and Asian option pricing in the generalized hyperbolic model

DOI10.1017/S095679250400542XMaRDI QIDQ5697665zbMATH OpenOpenAlexFDO

Authors M. Predota

Publication date 18 October 2005

Published in European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s095679250400542x

Mathematics Subject Classification ID

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

Recommendations

• Arithmetic average options in the hyperbolic model
• Simulation methods for valuing Asian option prices in a hyperbolic asset price model
• Option pricing proposals under the generalized hyperbolic model
• Asian options with jumps
• scientific article; zbMATH DE number 1978948

Cited in

(12)

• Asian options under one-sided Lévy models
• scientific article; zbMATH DE number 1390900 (Why is no real title available?)
• scientific article; zbMATH DE number 1978948 (Why is no real title available?)
• Estimation of the bid-ask prices for the European discrete geometric average and arithmetic average Asian options
• On Asian option pricing for NIG Lévy processes
• Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
• A backward Monte Carlo approach to exotic option pricing
• Dimension reduction for pricing options under multidimensional Lévy processes
• Simulation methods for valuing Asian option prices in a hyperbolic asset price model
• Arithmetic average options in the hyperbolic model
• scientific article; zbMATH DE number 1995555 (Why is no real title available?)

This page was built for publication: On European and Asian option pricing in the generalized hyperbolic model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697665)