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A short introduction to option pricing for exponential Lévy process stock price models
Linnaeus University, Faculty of Technology, Department of Mathematics. (matematik)ORCID iD: 0000-0002-7790-0539
2015 (English)In: Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday / [ed] Thomas Holgersson, Linnaeus University Press, 2015, 69-76 p.Chapter in book (Other academic)
Abstract [en]

A short introduction to option pricing under exponential Lévy process stock price models is presented. Emphasis is on appropriate change of probability measures, in particular the Esscher transform.

The note may serve as an inspiration for readers that are curious about option pricing outside the Black-Scholes framework.

Place, publisher, year, edition, pages
Linnaeus University Press, 2015. 69-76 p.
Keyword [en]
Option pricing, Lévy processes, martingale measure, Girsanov change of measure, Esscher transform, Samuelson's model, Black-Scholes model, jump-diffusion, normal inverse Gaussian (NIG) processes, tempered stable (CGMY) processes
Keyword [sv]
optionsprissättning, lévyprocesser, martingalmått, Girsanovs måttbyte, Esschertransform, Samuelsons modell, normalinversa gaussiska processer, tempererade stabila (CGMY) processer
National Category
Probability Theory and Statistics Economics
Research subject
Mathematics, Applied Mathematics; Economy, Economics
Identifiers
URN: urn:nbn:se:lnu:diva-48498ISBN: 978-91-87925-90-0 (print)OAI: oai:DiVA.org:lnu-48498DiVA: diva2:889173
Available from: 2015-12-22 Created: 2015-12-22 Last updated: 2016-05-03Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • Other style
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  • de-DE
  • en-GB
  • en-US
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  • nn-NO
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Output format
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