On European and Asian option pricing in the generalized hyperbolic model

DOI10.1017/S095679250400542XzbMATH Open1138.91471OpenAlexW2044314418MaRDI QIDQ5697665FDOQ5697665

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

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• scientific article; zbMATH DE number 1978948

Mathematics Subject Classification ID

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

Cited In (10)

• Title not available (Why is that?)
• Dimension reduction for pricing options under multidimensional Lévy processes
• A backward Monte Carlo approach to exotic option pricing
• Arithmetic average options in the hyperbolic model
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
• Title not available (Why is that?)
• Simulation methods for valuing Asian option prices in a hyperbolic asset price model
• Title not available (Why is that?)
• On Asian option pricing for NIG Lévy processes
• Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process

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