Option Pricing for Symmetric Lévy Returns with Applications

Keyphrases

• Option Pricing 100%
• Equivalent Martingale Measure 100%
• Discrete-time 50%
• Underlying Distribution 50%
• Option Pricing Formula 50%
• Normality Assumption 50%
• Normal-inverse Gaussian Distribution 50%
• Applied Probability 50%
• Variance gamma 50%
• Symmetric Normal Inverse Gaussian 50%

Mathematics

• Option Pricing 100%
• Equivalent Martingale Measure 66%
• Discrete Time 33%
• Variance 33%
• Underlying Distribution 33%
• Applied Probability 33%
• Normal Inverse Gaussian 33%

Economics, Econometrics and Finance

• Pricing 100%