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Barrier Options under L\'evy Processes: a Simple Short-Cut

In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations can be obtained.
Year of publication:
2013-03
Authors: Jos\'e Fajardo
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10010648165
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