English, Article edition: PRICING DERIVATIVES ON TWO-DIMENSIONAL LÃVY PROCESSES JOSÃ FAJARDO; ERNESTO MORDECKI

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/82813
Physical Description
  • article
Language
  • English

Edition details

Title
  • PRICING DERIVATIVES ON TWO-DIMENSIONAL LÃVY PROCESSES
Author
  • JOSÃ FAJARDO
  • ERNESTO MORDECKI
Physical Description
  • article
Notes
  • The aim of this work is to use a duality approach to study the pricing of derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to a problem with one Lévy driven stock in an auxiliary market, baptized as "dual market". In this way, we extend the results obtained by Gerber and Shiu [5] for two-dimensional Brownian motion.
  • Lévy processes, optimal stopping, dual market method, derivative pricing
  • RePEc:wsi:ijtafx:v:09:y:2006:i:02:p:185-197
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment