英文标题：
《Exponential stock models driven by tempered stable processes》
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作者：
Uwe K\\\"uchler and Stefan Tappe
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最新提交年份：
2019
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英文摘要：
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\\\'{e}vy processes. With a view of option pricing, we provide a systematic analysis of the existence of equivalent martingale measures, under which the model remains analytically tractable. This includes the existence of Esscher martingale measures and martingale measures having minimal distance to the physical probability measure. Moreover, we provide pricing formulae for European call options and perform a case study.
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中文摘要：
我们研究了由回火稳定过程驱动的指数股票模型，它构成了一个丰富的纯间断L{e}vy过程族。从期权定价的角度出发，我们系统地分析了等价鞅测度的存在性，在此条件下，模型仍然是可分析的。这包括Esscher鞅测度和与物理概率测度有最小距离的鞅测度的存在性。此外，我们还提供了欧式看涨期权的定价公式，并进行了案例研究。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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
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