Self-decomposability and option pricing

Mathematical Finance

Volumn 17, Issue 1, 2007, Pages 31-57

  Carr, Peter ^a   Geman, Hélyette ^b   Madan, Dilip B ^c   Yor, Marc ^d  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF LONDON   (United Kingdom)

^c UNIVERSITY OF MARYLAND   (United States)

^d SORBONNE UNIVERSITÉ   (France)

Author keywords

Additive processes; Background Driving L vy Processes; Ornstein Uhlenbeck Processes; Scaling

Indexed keywords

EID: 33845603620     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00293.x     Document Type: Article

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