Closed-form option pricing for exponential Lévy models: a residue approach
From MaRDI portal
Publication:6158398
DOI10.1080/14697688.2022.2152365zbMath1518.91270MaRDI QIDQ6158398
Justin Lars Kirkby, Jean-Philippe Aguilar
Publication date: 20 June 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Mellin transformstochastic volatilityoption pricingLévy processstable processvariance gamma processnormal inverse Gaussian process
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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