A note on the mean correcting martingale measure for geometric Lévy processes

DOI10.1016/J.AML.2010.11.011zbMATH Open1210.91139OpenAlexW2021963590MaRDI QIDQ628236FDOQ628236

Gang Yang, Xiangqun Yang, Luogen Yao

Publication date: 10 March 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2010.11.011

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zbMATH Keywords

equivalent martingale measuremean correcting martingale measureEuropean call optionLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• On the range of options prices

Cited In (6)

• Option pricing by mean correcting method for non-Gaussian Lévy processes
• Cost-efficiency in multivariate Lévy models
• Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
• An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate
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• Correction to: ``Cylindrical martingale problems associated with Lévy generators

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