# Option pricing in bilateral Gamma stock models

## TL;DR

This paper explores various measure changes in bilateral Gamma stock models to find economically meaningful and computationally feasible option pricing methods, supported by a numerical example.

## Contribution

It introduces and compares multiple measure transformation techniques within bilateral Gamma models for option pricing, providing a comprehensive framework.

## Key findings

- Identification of suitable option pricing measures with economic interpretation
- Comparison of Esscher, minimal entropy, and other transforms in bilateral Gamma models
- Numerical example demonstrating practical application

## 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, $p$-optimal martingale measures, bilateral Esscher transforms and the minimal martingale measure. We illustrate our theory by a numerical example.