Option pricing in bilateral Gamma stock models
Mathematical Finance
2025-11-21 v1 Probability
Abstract
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, -optimal martingale measures, bilateral Esscher transforms and the minimal martingale measure. We illustrate our theory by a numerical example.
Keywords
Cite
@article{arxiv.1907.09862,
title = {Option pricing in bilateral Gamma stock models},
author = {Uwe Küchler and Stefan Tappe},
journal= {arXiv preprint arXiv:1907.09862},
year = {2025}
}
Comments
21 pages, 1 figure