英文标题：
《Option Pricing for Symmetric L\\\'evy Returns with Applications》
---
作者：
Kais Hamza, Fima C. Klebaner, Zinoviy Landsman and Ying-Oon Tan
---
最新提交年份：
2014
---
英文摘要：
This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent martingale measures (EMM). However we argue (as in the discrete-time setting of Klebaner and Landsman, 2007) that an EMM that keeps distributions within the same family is a \"natural\" choice. We obtain Black-Scholes type option pricing formulae for symmetric Variance-Gamma and symmetric Normal Inverse Gaussian models.
---
中文摘要：
本文考虑了当正态性假设被基础分布对称性假设所取代时的期权定价问题。这样的市场提供了许多等价的鞅测度（EMM）。然而，我们认为（如Klebaner和Landsman，2007年的离散时间设置）将分布保持在同一家族中的EMM是一种“自然”选择。我们得到了对称方差Gamma模型和对称正态逆高斯模型的Black-Scholes型期权定价公式。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->