Pricing European options and risk measurement under exponential Lévy models : a practical guide
Khaled Salhi
| Year of publication: |
June-September 2017
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| Authors: | Salhi, Khaled |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-36
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| Subject: | Lévy process | incomplete market | Esscher martingale measure | minimal entropy martingalemeasure | fast Fourier transform | value-at-risk | conditional value-at-risk | Merton model | variance gamma model | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Unvollkommener Markt | Incomplete market | Entropie | Entropy | Portfolio-Management | Portfolio selection | Optionsgeschäft | Option trading |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786317500165 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011777826