| Option Pricing for Time-Change Exponential Levy Model Under Memm |
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| 引用本文： | Xu Chen Jian-ping Wan. Option Pricing for Time-Change Exponential Levy Model Under Memm[J]. 应用数学学报(英文版), 2007, 23(4): 651-664. DOI: 10.1007/s10255-007-0403 |
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| 作者姓名： | Xu Chen Jian-ping Wan |
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| 作者单位： | [1]Department of Mathematics, Hunan Normal University, Changsha 410081, China [2]Department of Mathematics, Huazhong University of Science ＆ Technology, Wuhan 430074, China |
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| 摘 要： | The purpose of this article is to study the rational evaluation of European options price when the underlying price process is described by a time-change Levy process. European option pricing formula is obtained under the minimal entropy martingale measure （MEMM） and applied to several examples of particular time-change Levy processes. It can be seen that the framework in this paper encompasses the Black-Scholes model and almost all of the models proposed in the subordinated market.
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| 关 键 词： | 时间变换函数 记价 模型 最小熵测量 |
| 收稿时间： | 2006-05-16 |
| 修稿时间： | 2006-05-16 |
Option Pricing for Time-Change Exponential Lévy Model Under Memm |
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| Xu Chen,Jian-ping Wan. Option Pricing for Time-Change Exponential Lévy Model Under Memm[J]. Acta Mathematicae Applicatae Sinica, 2007, 23(4): 651-664. DOI: 10.1007/s10255-007-0403 |
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| Authors: | Xu Chen Jian-ping Wan |
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| Affiliation: | (1) Department of Mathematics, Hunan Normal University, Changsha, 410081, China;(2) Department of Mathematics, Huazhong University of Science & Technology, Wuhan, 430074, China |
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| Abstract: | Abstract The purpose of this article is to study the rational evaluation of European options price when the underlying price process is described by a time-change Lévy process. European option pricing formula is obtained under the minimal entropy martingale measure (MEMM) and applied to several examples of particular time-change Lévy processes. It can be seen that the framework in this paper encompasses the Black-Scholes model and almost all of the models proposed in the subordinated market. |
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| Keywords: | Option pricing Levy processes time-change subordination MEMM |
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