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[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems · Study

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Article[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems

Yoshio Miyahara2001

Article2001

[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems

Yoshio Miyahara

49 citations·0/0 files stored·Asia-Pacific Financial Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1976Option pricing when underlying stock returns are discontinuous 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1983Stochastic Differential Equations and Diffusion Processes 1995Hyperbolic Distributions in Finance 1963Mandelbrot and the Stable Paretian Hypothesis 1990Hedging of contingent claims under incomplete information 1967On Square Integrable Martingales

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2008Exchange Options Under Jump-Diffusion Dynamics 2011Valuing variable annuity guarantees with the multivariate Esscher transform 2007Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model 2011The representation of American options prices under stochastic volatility and jump-diffusion dynamics

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Year2001

Typearticle

Published2001-03-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations49

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1011445109763

openalex_workW88791093

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