Time Changed Levy Process And Option Pricing
Download and Read Time Changed Levy Process And Option Pricing full books in PDF, ePUB, and Kindle. Read online free Time Changed Levy Process And Option Pricing ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Time-Changed Levy Process and Option Pricing
Author | : Peter Carr |
Publisher | : |
Total Pages | : 35 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Time-Changed Levy Process and Option Pricing Book in PDF, Epub and Kindle
We apply stochastic time change to Levy processes to generate a wide variety of tractable option pricing models. In particular, we prove a fundamental theorem that transforms the characteristic function of the time-changed Levy process into the Laplace transform of the stochastic time under appropriate measure change. We extend the traditional measure theory into the complex domain and define the measure change by a class of complex valued exponential martingales. We provide extensive examples to illustrate its applications and its link to existing models in the literature.
Time-Changed Levy Process and Option Pricing Related Books
Pages: 35
Pages: 48
Pages: 200
Pages: 31
Pages: 200