Option pricing in bilateral Gamma stock models

2019/07/23 by Uwe Küchler, Küchler, Uwe, Stefan Tappe +1
Economics, Econometrics and Finance · #60G51 #91G20 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications

paper · doi:10.48550/arxiv.1907.09862

openalex publication_date 2019/07/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, p-optimal martingale measures, bilateral Esscher transforms and the minimal martingale measure. We illustrate our theory by a numerical example.

Citations

• The Fine Structure of Asset Returns: An Empirical Investigation

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