On the Determination of the Lévy Exponent in Asset Pricing Models
Abstract
We consider the problem of determining the Lévy exponent in a geometric Lévy model for asset prices, given the price data of derivatives. The model, formulated under the real-world probability measure, consists of a pricing... [ view full abstract ]
Authors
- Georgios Bouzianis (Department of Mathematics, King's College London)
- Lane Hughston (Goldsmiths College)
Topic Areas
Calibration , Incompleteness , Risk Management
Session
MO-P-SW » Stochastic Processes (14:30 - Monday, 16th July, Swift)
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