Determination of the Lévy exponent in asset pricing models
Year of publication: |
2019
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Authors: | Bouzianis, George ; Hughston, Lane P. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 1, p. 1-18
|
Subject: | Asset pricing | Lévy models | Lévy processes | Lévy exponent | exponential moments | option pricing | option replication | power payoffs | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | CAPM |
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