Option pricing in bilateral Gamma stock models
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2019
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866918210484305920 |
|---|---|
| author | Küchler, Uwe Tappe, Stefan |
| author_facet | Küchler, Uwe Tappe, Stefan |
| contents | 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 numerical example. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1907_09862 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Option pricing in bilateral Gamma stock models Küchler, Uwe Tappe, Stefan Mathematical Finance Probability 91G20, 60G51 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 numerical example. |
| title | Option pricing in bilateral Gamma stock models |
| topic | Mathematical Finance Probability 91G20, 60G51 |
| url | https://arxiv.org/abs/1907.09862 |