Option pricing for log-symmetric distributions of returns
DOI10.1007/S11009-007-9038-2zbMATH Open1170.91385OpenAlexW1979420202WikidataQ57712765 ScholiaQ57712765MaRDI QIDQ835680FDOQ835680
Authors: Fima Klebaner, Zinoviy Landsman 
Publication date: 31 August 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-007-9038-2
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with discrete parameter (60G42)
Cites Work
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Cited In (8)
- Log‐symmetric quantile regression models
- A note on the coefficients of elliptical random variables
- Log Student's \(t\)-distribution-based option sensitivities: Greeks for the Gosset formulae
- Characterizations of continuous log-symmetric distributions based on properties of order statistics
- Title not available (Why is that?)
- Option pricing based on a log-skew-normal mixture
- Option pricing for symmetric Lévy returns with applications
- Option pricing with heavy-tailed distributions of logarithmic returns
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