Option pricing bounds in an α-stable security market

Communications in Statistics. Part C: Stochastic Models

Volumn 13, Issue 4, 1997, Pages 817-839

  Janicki, A W ^a   Popova, I ^b   Ritchken, P H ^c   Woyczynski, W A ^c  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

^b PURDUE UNIVERSITY   (United States)

^c CASE WESTERN RESERVE UNIVERSITY   (United States)

Author keywords

L vy stable process; Option pricing; Security markets; Smile effect

Indexed keywords

EID: 0009603116     PISSN: 08820287     EISSN: None     Source Type: Journal    
DOI: 10.1080/15326349708807453     Document Type: Article

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