[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems

By Yoshio Miyahara. 2001

69 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d99b64b4bca23edf22eebdd0aa4d0bab38523f6d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Tak Kuen Siu
2. Leunglung Chan
3. Robert J. R. Elliott
4. Mingxin Xu
5. Jan Vecer
6. Chuan-Hsiang Han
7. Jean-Pierre Fouque 3
8. M. Cole

In Finance

1. Robert J. R. Elliott
2. Tak Kuen Siu
3. Leunglung Chan
4. Mingxin Xu
5. Jan Vecer
6. Guang-Hua Lian
7. Christiane Lemieux
8. Chuan-Hsiang Han

Citations in the corpus

• Option pricing and Esscher transform under regime switching (2005, methodology): “The proof of Proposition 3.1 is similar to the proof of Theorem 1 in Miyahara [ 33 ].”
• Pricing Asian options in a semimartingale model (2004, background): “Interested readers are referred to Follmer and Schweizer (1991) for the Fijllmer-Schweizer minimal measure; Miyahara (2001) and Frittelli (2000) for the minimal entropy martingale measure; Bellini and Frittelli (1998) for the minimax measure; Go11 and Riischendorf (2001) for the minimal distance…”
• Risk measure pricing and hedging in incomplete markets (2006, unknown): “MSC 2000 Classification Numbers: 91B24, 91B28, 91B30, 60G07.”
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (2005, unknown): “The minimal entropy martingale measure was defined and investigated by Frittelli (1996, 2000), see also Miyahara (2001) and Chan (1999).”