Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes

DOI10.1007/S10690-009-9089-1zbMath1180.60061OpenAlexW2007900251MaRDI QIDQ841858

Dewei Zhang, Masatoshi Fujisaki

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9089-1

zbMATH Keywords

stablecompound Poissonmixture modelMCMCMEMMCGMYEuropean and Asian optioniteration and Newton methodNIGVG

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (3)

On the price of risk under a regime switching CGMY process ⋮ Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process ⋮ Utility indifference hedging with exponential additive processes

Cites Work

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• The cumulant process and Esscher's change of measure
• The minimal entropy martingale measures for geometric Lévy processes
• Financial Modelling with Jump Processes
• Bayesian Inference for Stable Distributions
• Option pricing when underlying stock returns are discontinuous

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