Option pricing under some Lévy-like stochastic processes
From MaRDI portal
Publication:617036
DOI10.1016/j.aml.2010.11.015zbMath1203.91279MaRDI QIDQ617036
Publication date: 20 January 2011
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2010.11.015
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- The quintessential option pricing formula under Lévy processes
- The fundamental solution for pseudo-differential operators of parabolic type
- A comprehensive mathematical approach to exotic option pricing
- Complete Models with Stochastic Volatility
- From local volatility to local Lévy models
- Feller processes of normal inverse Gaussian type
- Stochastic Volatility for Lévy Processes
- Unnamed Item
- Unnamed Item
- Unnamed Item