Application of Levy processes and Esscher transformed martingale measures for option pricing in fuzzy framework-Reference-Cited by-同舟云学术

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Application of Levy processes and Esscher transformed martingale measures for option pricing in fuzzy framework

Published:2014-06 Issue: Volume:263 Page:129-151
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Nowak Piotr,Romaniuk Maciej

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference50 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. Options, Futures and Other Derivatives;Hull,1997

3. Mathematics of Financial Markets;Davis,2001

4. Empirical performance of alternative option pricing models;Bakshi;J. Financ.,1997

5. Jumps and stochastic volatility: exchange rate processes implicit in Deutschemark options;Bates;Rev. Financ. Stud.,1996

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