Option pricing for a logstable asset price model

Mathematical and Computer Modelling

Volumn 29, Issue 10-12, 1999, Pages 105-119

  Hurst, S R ^a   Platen, E ^a   Rachev, S T ^b  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Implied volatility smile; Option pricing; Stable processes; Subordination

Indexed keywords

EID: 0033133977     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(99)00096-5     Document Type: Article

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