Asset Price Models

Thorsten Rheinländer and Jenny Sexton
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Thorsten Rheinländer: London School of Economics and Political Science, UK
Jenny Sexton: University of Manchester, UK

Chapter 4 in Hedging Derivatives, 2011, pp 57-83 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Exponential Lévy processesA Lévy process primerExamples of Lévy processesConstruction of Lévy processes by subordinationRisk-neutral Lévy modellingWeak representation property and measure changesStochastic volatility modelsExamplesStochastic differential equations and time changeConstruction of a solution via couplingConvexity of option pricesMarket completion by trading in optionsBubbles and strict local martingalesStochastic exponentialsNotes and further reading

Keywords: Hedging; Financial Derivatives; Martingale Measures; Incomplete Markets; Stochastic Volatility; Lévy Processes (search for similar items in EconPapers)
Date: 2011
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