Matches in SemOpenAlex for { <https://semopenalex.org/work/W3196590914> ?p ?o ?g. }
Showing items 1 to 95 of
95
with 100 items per page.
- W3196590914 endingPage "724" @default.
- W3196590914 startingPage "689" @default.
- W3196590914 abstract "Abstract In option pricing, it is customary to first specify a stochastic underlying model and then extract valuation equations from it. However, it is possible to reverse this paradigm: starting from an arbitrage-free option valuation formula, one could derive a family of risk-neutral probabilities and a corresponding risk-neutral underlying asset process. In this paper, we start from two simple arbitrage-free valuation equations, inspired by the log-sum-exponential function and an $ell ^{p}$ <mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML> <mml:msup> <mml:mi>ℓ</mml:mi> <mml:mi>p</mml:mi> </mml:msup> </mml:math> vector norm. Such expressions lead respectively to logistic and Dagum (or “log-skew-logistic”) risk-neutral distributions for the underlying security price. We proceed to exhibit supporting martingale processes of additive type for underlying securities having as time marginals two such distributions. By construction, these processes produce closed-form valuation equations which are even simpler than those of the Bachelier and Samuelson–Black–Scholes models. Additive logistic processes provide parsimonious and simple option pricing models capturing various important stylised facts at the minimum price of a single market observable input." @default.
- W3196590914 created "2021-09-13" @default.
- W3196590914 creator A5062123828 @default.
- W3196590914 creator A5064063645 @default.
- W3196590914 date "2021-09-03" @default.
- W3196590914 modified "2023-09-23" @default.
- W3196590914 title "Additive logistic processes in option pricing" @default.
- W3196590914 cites W143238527 @default.
- W3196590914 cites W1965197637 @default.
- W3196590914 cites W1978744255 @default.
- W3196590914 cites W1983135873 @default.
- W3196590914 cites W1983714040 @default.
- W3196590914 cites W2001371521 @default.
- W3196590914 cites W2005667111 @default.
- W3196590914 cites W2016166708 @default.
- W3196590914 cites W2030759821 @default.
- W3196590914 cites W2052199719 @default.
- W3196590914 cites W2077791698 @default.
- W3196590914 cites W2100190417 @default.
- W3196590914 cites W2103382933 @default.
- W3196590914 cites W2113687945 @default.
- W3196590914 cites W2116919581 @default.
- W3196590914 cites W2123446302 @default.
- W3196590914 cites W2139689073 @default.
- W3196590914 cites W2143118268 @default.
- W3196590914 cites W2156150081 @default.
- W3196590914 cites W2165926221 @default.
- W3196590914 cites W2267518427 @default.
- W3196590914 cites W2314640094 @default.
- W3196590914 cites W292358271 @default.
- W3196590914 cites W3036115538 @default.
- W3196590914 cites W3121574170 @default.
- W3196590914 cites W3124960685 @default.
- W3196590914 cites W3125246470 @default.
- W3196590914 cites W3125436033 @default.
- W3196590914 doi "https://doi.org/10.1007/s00780-021-00461-8" @default.
- W3196590914 hasPublicationYear "2021" @default.
- W3196590914 type Work @default.
- W3196590914 sameAs 3196590914 @default.
- W3196590914 citedByCount "8" @default.
- W3196590914 countsByYear W31965909142023 @default.
- W3196590914 crossrefType "journal-article" @default.
- W3196590914 hasAuthorship W3196590914A5062123828 @default.
- W3196590914 hasAuthorship W3196590914A5064063645 @default.
- W3196590914 hasBestOaLocation W31965909141 @default.
- W3196590914 hasConcept C10138342 @default.
- W3196590914 hasConcept C106159729 @default.
- W3196590914 hasConcept C144237770 @default.
- W3196590914 hasConcept C149782125 @default.
- W3196590914 hasConcept C160623529 @default.
- W3196590914 hasConcept C162324750 @default.
- W3196590914 hasConcept C181236170 @default.
- W3196590914 hasConcept C186027771 @default.
- W3196590914 hasConcept C194483076 @default.
- W3196590914 hasConcept C28826006 @default.
- W3196590914 hasConcept C33175817 @default.
- W3196590914 hasConcept C33923547 @default.
- W3196590914 hasConcept C85106312 @default.
- W3196590914 hasConcept C93373587 @default.
- W3196590914 hasConceptScore W3196590914C10138342 @default.
- W3196590914 hasConceptScore W3196590914C106159729 @default.
- W3196590914 hasConceptScore W3196590914C144237770 @default.
- W3196590914 hasConceptScore W3196590914C149782125 @default.
- W3196590914 hasConceptScore W3196590914C160623529 @default.
- W3196590914 hasConceptScore W3196590914C162324750 @default.
- W3196590914 hasConceptScore W3196590914C181236170 @default.
- W3196590914 hasConceptScore W3196590914C186027771 @default.
- W3196590914 hasConceptScore W3196590914C194483076 @default.
- W3196590914 hasConceptScore W3196590914C28826006 @default.
- W3196590914 hasConceptScore W3196590914C33175817 @default.
- W3196590914 hasConceptScore W3196590914C33923547 @default.
- W3196590914 hasConceptScore W3196590914C85106312 @default.
- W3196590914 hasConceptScore W3196590914C93373587 @default.
- W3196590914 hasFunder F4320322875 @default.
- W3196590914 hasIssue "4" @default.
- W3196590914 hasLocation W31965909141 @default.
- W3196590914 hasOpenAccess W3196590914 @default.
- W3196590914 hasPrimaryLocation W31965909141 @default.
- W3196590914 hasRelatedWork W1998057132 @default.
- W3196590914 hasRelatedWork W2076458153 @default.
- W3196590914 hasRelatedWork W2098005744 @default.
- W3196590914 hasRelatedWork W2992182782 @default.
- W3196590914 hasRelatedWork W2997100627 @default.
- W3196590914 hasRelatedWork W3044087183 @default.
- W3196590914 hasRelatedWork W3125204088 @default.
- W3196590914 hasRelatedWork W3196590914 @default.
- W3196590914 hasRelatedWork W3198097687 @default.
- W3196590914 hasRelatedWork W4223942196 @default.
- W3196590914 hasVolume "25" @default.
- W3196590914 isParatext "false" @default.
- W3196590914 isRetracted "false" @default.
- W3196590914 magId "3196590914" @default.
- W3196590914 workType "article" @default.