On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure-Reference-Cited by-同舟云学术

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On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Published:2017-01-01 Issue:1 Volume:5 Page:1358894
ISSN:2332-2039
Container-title:Cogent Economics & Finance
language:en
Short-container-title:Cogent Economics & Finance

Author:

Mwaniki Ivivi J.¹

Affiliation:

1. School of Mathematics, Statistics & Actuarial Science Division, University of Nairobi, Nairobi, Kenya

Funder

International Science program/EAUMP

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.cogentoa.com/article/10.1080/23322039.2017.1358894.pdf

Reference30 articles.

1. Processes of normal inverse Gaussian type

2. The Pricing of Options and Corporate Liabilities

3. The Fine Structure of Asset Returns: An Empirical Investigation

4. Conditional Jump Dynamics in Stock Market Returns

5. MORE ON MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE

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