Geodesic
Geometric L\'evy Process Pricing Model
Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 185-200

Voir la notice de l'article provenant de la source Math-Net.Ru

We consider models for stock prices that relate to random processes with independent homogeneous increments (Lévy processes). These models are arbitrage-free but correspond to an incomplete financial market. There are many different approaches for pricing financial derivatives. We consider here mainly the approach based on minimal relative entropy. This method is related to a utility function of exponential type and the Esscher transformation of probabilistic measures. 
@article{TRSPY_2002_237_a8,
     author = {Y. Miyahara and A. Novikov},
     title = {Geometric {L\'evy} {Process} {Pricing} {Model}},
     journal = {Informatics and Automation},
     pages = {185--200},
     publisher = {mathdoc},
     volume = {237},
     year = {2002},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a8/}
}
TY  - JOUR
AU  - Y. Miyahara
AU  - A. Novikov
TI  - Geometric L\'evy Process Pricing Model
JO  - Informatics and Automation
PY  - 2002
SP  - 185
EP  - 200
VL  - 237
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a8/
LA  - en
ID  - TRSPY_2002_237_a8
ER  - 
%0 Journal Article
%A Y. Miyahara
%A A. Novikov
%T Geometric L\'evy Process Pricing Model
%J Informatics and Automation
%D 2002
%P 185-200
%V 237
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a8/
%G en
%F TRSPY_2002_237_a8
Y. Miyahara; A. Novikov. Geometric L\'evy Process Pricing Model. Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 185-200. http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a8/