Option pricing in bilateral Gamma stock models

Küchler Uwe and Tappe Stefan
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Tappe Stefan: ETH Zürich, Department of Mathematics, Zürich, Schweiz

Statistics & Risk Modeling, 2009, vol. 27, issue 4, 281-307

Abstract: In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, p-optimal martingale measures, bilateral Esscher transforms and the minimal martingale measure. We illustrate our theory by a numerical example.

Keywords: Bilateral Gamma stockmodel; bilateral Esscher transform; minimal martingale measure; option pricing (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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DOI: 10.1524/stnd.2009.1048

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