Option Pricing for Symmetric Lévy Returns with Applications

[1]  佐藤 健一 Lévy processes and infinitely divisible distributions , 2013 .

[2]  Option Pricing for Log-Symmetric Distributions of Returns , 2009 .

[3]  Stefan Tappe,et al.  Bilateral gamma distributions and processes in financial mathematics , 2008, 1907.09857.

[4]  E. Mordecki,et al.  Symmetry and duality in Lévy markets , 2006 .

[5]  R. Schilling Financial Modelling with Jump Processes , 2005 .

[6]  Yoshio Miyahara,et al.  The minimal entropy martingale measures for geometric Lévy processes , 2003, Finance Stochastics.

[7]  W. Schoutens Lévy Processes in Finance: Pricing Financial Derivatives , 2003 .

[8]  Jan Kallsen,et al.  The cumulant process and Esscher's change of measure , 2002, Finance Stochastics.

[9]  P. Carr,et al.  Time-Changed Levy Processes and Option Pricing ⁄ , 2002 .

[10]  Ludger Rüschendorf,et al.  Minimax and minimal distance martingale measures and their relationship to portfolio optimization , 2001, Finance Stochastics.

[11]  Werner Hürlimann,et al.  Financial Data Analysis with Two Symmetric Distributions , 2001 .

[12]  Eric Benhamou,et al.  Option Pricing with Levy Process , 2000 .

[13]  M. Frittelli The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets , 2000 .

[14]  Y. Miyahara Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets , 1999 .

[15]  T. Chan Pricing contingent claims on stocks driven by Lévy processes , 1999 .

[16]  A. Shiryaev Essentials of stochastic finance , 1999 .

[17]  Robert J. Elliott,et al.  A Discrete Time Equivalent Martingale Measure , 1998 .

[18]  P. Carr,et al.  The Variance Gamma Process and Option Pricing , 1998 .

[19]  Ernst Eberlein,et al.  On the range of options prices , 1997, Finance Stochastics.

[20]  Tina Hviid Rydberg The normal inverse gaussian lévy process: simulation and approximation , 1997 .

[21]  M. Schweizer Approximation pricing and the variance-optimal martingale measure , 1996 .

[22]  James B. McDonald,et al.  14 Probability distributions for financial models , 1996 .

[23]  N. L. Johnson,et al.  Continuous Univariate Distributions. , 1995 .

[24]  Jean-Charles Rochet,et al.  Changes of numéraire, changes of probability measure and option pricing , 1995, Journal of Applied Probability.

[25]  Hans U. Gerber,et al.  Option pricing by Esscher transforms. , 1995 .

[26]  D. Madan,et al.  1option Pricing with V. G. Martingale Components , 1991 .

[27]  H. Föllmer,et al.  Hedging of contingent claims under incomplete in-formation , 1991 .

[28]  S. Kotz,et al.  Symmetric Multivariate and Related Distributions , 1989 .

[29]  Robert C. Blattberg,et al.  A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices: Reply , 1974 .

[30]  B. Mandelbrot The Variation of Some Other Speculative Prices , 1967 .

[31]  F. Eugene FAMA, . The Behavior of Stock-Market Prices, Journal of Business, , . , 1965 .

[32]  E. Fama The Behavior of Stock-Market Prices , 1965 .

[33]  B. Mandelbrot The Variation of Certain Speculative Prices , 1963 .

[34]  B. Mandlebrot The Variation of Certain Speculative Prices , 1963 .