• Title of article

    On European and Asian option pricing in the generalized hyperbolic model

  • Author/Authors

    PREDOTA، MARTIN نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2005
  • Pages
    -110
  • From page
    111
  • To page
    0
  • Abstract
    The aim of this paper is to give a detailed introduction to the generalized hyperbolic option pricing model. We discuss European and discrete Asian options, especially arithmetic average options, and compare the results with the classical Black–Scholes model.
  • Keywords
    Hardy space , inner function , subspace , model , shift operator , Hilbert transform , admissible majorant
  • Journal title
    EUROPEAN JOURNAL OF APPLIED MATHEMATICS
  • Serial Year
    2005
  • Journal title
    EUROPEAN JOURNAL OF APPLIED MATHEMATICS
  • Record number

    108072

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=108072