| dc.date.accessioned | 2013-03-12T08:17:04Z | |
| dc.date.available | 2013-03-12T08:17:04Z | |
| dc.date.issued | 2010 | en_US |
| dc.date.submitted | 2011-06-29 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10225 | |
| dc.description.abstract | We study the robustness of option prices to model variation after a change of measure where the measure depends on the model choice. We consider geometric Lévy models in which the infinite activity of the small jumps is approximated by a scaled Brownian motion. For the Esscher transform, the minimal entropy martingale measure, the minimal martingale measure and the mean variance martingale measure, we show that the option prices and their corresponding deltas converge as the scaling of the Brownian motion part tends to zero. We give some examples illustrating our results.
Revised February 28th, 2012. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2010). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | A NOTE ON CONVERGENCE OF OPTION PRICES AND THEIR GREEKS FOR LÉVY MODELS | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2012-03-27 | en_US |
| dc.rights.holder | Copyright 2010 The Author(s) | |
| dc.creator.author | Benth, Fred Espen | en_US |
| dc.creator.author | Di Nunno, Giulia | en_US |
| dc.creator.author | Khedher, Asma | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-28064 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 131018 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10225/1/pm18-10-rev.pdf | |