Exponential Stock Models Driven by Tempered Stable Processes

@inproceedings{Kchler2013ExponentialSM,
  title={Exponential Stock Models Driven by Tempered Stable Processes},
  author={Uwe K{\"u}chler and Stefan Tappe},
  year={2013}
}
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous Lévy 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… CONTINUE READING

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