Option pricing in bilateral Gamma stock models

Uwe K\"uchler and Stefan Tappe

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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.

Date: 2019-07
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Published in Statistics and Decisions 27(4):281-307, 2009

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