Option pricing in bilateral Gamma stock models

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.

21 pages, 1 figure

References in corpus (3)

• Bilateral Gamma distributions and processes in financial mathematics
• Minimal $f^q$-martingale measures for exponential Lévy processes
• On the shapes of bilateral Gamma densities

Cited by in corpus (3)

• Tempered stable distributions and processes
• Exponential stock models driven by tempered stable processes
• Mixed Tempered Stable distribution