Open AccessPricing contingent claims on stocks driven by Lévy processes
Author(s) -
Terence Chan
Publication year - 1999
Publication title -
the annals of applied probability/the annals of applied probability
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.878
H-Index - 86
eISSN - 2168-8737
pISSN - 1050-5164
DOI - 10.1214/aoap/1029962753
Subject(s) - mathematics , martingale (probability theory) , local martingale , martingale pricing , measure (data warehouse) , girsanov theorem , probability measure , risk neutral measure , geometric brownian motion , entropy (arrow of time) , brownian motion , martingale representation theorem , mathematical economics , diffusion process , mathematical analysis , statistics , economics , computer science , physics , economy , quantum mechanics , database , service (business)