Work

Calculation of the MEMM for geometric Lévy processes and its application to option pricing

Year: 2009

Type: conference-paper

Abstract: In this paper, we shall present a useful method to obtain the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY(Carr-Geman-Madan-Yor), NIG(Normal Inverse Gaussian), etc., and moreover we shall apply the method to value the European call option and Asian call option.

Source: Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications

DOI: 10.5687/sss.2009.348

Authors: Masatoshi Fujisaki, Zhang Dewei

Institutions: University of Hyogo, Hyogo University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2804459685

FWCI: 3.017

Cites: 10

Cited by: 1

Related to: 10