Option pricing for log-symmetric distributions of returns

DOI10.1007/S11009-007-9038-2MaRDI QIDQ835680zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with discrete parameter (60G42)

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Cites work

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• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• Changes of numéraire, changes of probability measure and option pricing
• Financial Data Analysis with Two Symmetric Distributions
• Martingales and stochastic integrals in the theory of continuous trading
• Portfolio Analysis in a Stable Paretian Market
• Tail Conditional Expectations for Elliptical Distributions
• The cumulant process and Esscher's change of measure

Cited in

(8)

• A note on the coefficients of elliptical random variables
• Log‐symmetric quantile regression models
• Characterizations of continuous log-symmetric distributions based on properties of order statistics
• 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
• Log Student's \(t\)-distribution-based option sensitivities: Greeks for the Gosset formulae
• scientific article; zbMATH DE number 1500698 (Why is no real title available?)

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