Risk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process

Subject Areas : Financial Mathematics

Maryam Tahmasebi ¹ , Gholam Hossein Yari ²

1 - Department of Applied Mathematics, Iran University of Science and Technology, Narmak, Tehran, Iran
2 - Department of Applied Mathematics, Iran University of Science and Technology, Narmak, Tehran, Iran

Received: 2020-08-23 Accepted : 2020-08-23 Published : 2020-10-01

Keywords:

References:

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