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Полная версия
ЖУРНАЛЫ // Труды Математического института имени В. А. Стеклова // Архив

Труды МИАН, 2002, том 237, страницы 185–200 (Mi tm330)

Эта публикация цитируется в 3 статьях

Geometric Lévy Process Pricing Model

Y. Miyaharaa, A. Novikovb

a Faculty of Economics, Nagoya City University, Mizuhochou, Mizuhoku, Nagoya
b Department of Mathematical Sciences, University of Technology, Sydney

Аннотация: We consider models for stock prices that relate to random processes with independent homogeneous increments (Lévy processes). These models are arbitrage-free but correspond to an incomplete financial market. There are many different approaches for pricing financial derivatives. We consider here mainly the approach based on minimal relative entropy. This method is related to a utility function of exponential type and the Esscher transformation of probabilistic measures.

УДК: 519.2+519.8

Поступило в ноябре 2001 г.

Язык публикации: английский


 Англоязычная версия: Proceedings of the Steklov Institute of Mathematics, 2002, 237, 176–191

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