Option Pricing for Symmetric Lévy Returns with Applications

Keyphrases

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

Mathematics

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

Economics, Econometrics and Finance

• Measure of Dispersion 50%
• Pricing 100%