Option pricing in bilateral Gamma stock models
نویسندگان
چکیده
منابع مشابه
Option Pricing in Bilateral Gamma Stock Models
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, p-optimal martingale measures, bilateral Esscher transforms and the minimal martingale measure. We illustrate our theory by a n...
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ژورنال
عنوان ژورنال: Statistics & Decisions
سال: 2009
ISSN: 0721-2631
DOI: 10.1524/stnd.2009.1048