Option Pricing for Time-Change Exponential Lévy Model Under Memm
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10255-007-0403.pdf
Reference11 articles.
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3. Chan, T. Pricing contingent claims on stocks driven by Lévy processes. Ann. Appl. Probab., 9:504–528 (1999)
4. Delbaen, F., Schachermayer, W. The variance-optimal martingale measure for continuous processes. Bernoulli, 2:81–106 (1996)
5. Frittelli, M. The minimal entropy martingale measures and the valuation problem in incomplete markets. Mathematical Finance, 10:39–52 (2000)
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2. f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point;Seminar on Stochastic Analysis, Random Fields and Applications VII;2013
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