Option pricing for log-symmetric distributions of returns

DOI10.1007/S11009-007-9038-2zbMATH Open1170.91385OpenAlexW1979420202WikidataQ57712765 ScholiaQ57712765MaRDI QIDQ835680FDOQ835680

Zinoviy Landsman, Fima Klebaner

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

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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)

Cites Work

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• Tail Conditional Expectations for Elliptical Distributions
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• Martingales and stochastic integrals in the theory of continuous trading
• The cumulant process and Esscher's change of measure
• Changes of numéraire, changes of probability measure and option pricing
• Portfolio Analysis in a Stable Paretian Market
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• Financial Data Analysis with Two Symmetric Distributions

Cited In (5)

• Log‐symmetric quantile regression models
• A note on the coefficients of elliptical random variables
• Characterizations of continuous log-symmetric distributions based on properties of order statistics
• Title not available (Why is that?)
• Option pricing for symmetric Lévy returns with applications

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