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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 185–200 (Mi tm330)  
This article is cited in 3 scientific papers (total in 3 papers)

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
Full-text PDF (218 kB) Citations (3)
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Abstract: 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.
Received in November 2001
Bibliographic databases:
UDC: 519.2+519.8
Language: English
Citation: Y. Miyahara, A. Novikov, “Geometric Lévy Process Pricing Model”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 185–200; Proc. Steklov Inst. Math., 237 (2002), 176–191
Citation in format AMSBIB
\Bibitem{MiyNov02}
\by Y.~Miyahara, A.~Novikov
\paper Geometric L\'evy Process Pricing Model
\inbook Stochastic financial mathematics
\bookinfo Collected papers
\serial Trudy Mat. Inst. Steklova
\yr 2002
\vol 237
\pages 185--200
\publ Nauka, MAIK «Nauka/Inteperiodika»
\publaddr M.
\mathnet{http://mi.mathnet.ru/tm330}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1976514}
\zmath{https://zbmath.org/?q=an:1057.91042}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2002
\vol 237
\pages 176--191
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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