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

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

Authors Gang Yang, Luogen Yao, Xiangqun Yang 

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

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)

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Cites Work

• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• On the range of options prices

Cited In (9)

• Option pricing by mean correcting method for non-Gaussian Lévy processes
• Cost-efficiency in multivariate Lévy models
• The mean correcting martingale measures for exponential additive processes
• 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
• Title not available (Why is no real title available?)
• Mean correcting martingale measure for exponential semimartingale market models
• Correction to: ``Cylindrical martingale problems associated with Lévy generators
• Mean correcting transform method of martingale measures for geometric Lévy processes and its application

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