Non-Gaussian Analytic Option Pricing : A Closed Formula for the Lévy-Stable Model

We establish an explicit pricing formula for a class of non-gaussian models (the Lévy-stable, or Log-Lévy model with finite moments) allowing a straightforward evaluation of an European option, without numerical simulations and with as much accuracy as one wishes. The formula can be used by any practitioner, even if not familiar with the underlying multidimensional residue theory. We test the efficiency of the formula, and compare it with numerical methods

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Year of publication:	2017
Authors:	Aguilar, Jean-Philippe
Other Persons:	Coste, Cyril G. (contributor) ; Korbel, Jan (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Black-Scholes-Modell \| Black-Scholes model \| Stochastischer Prozess \| Stochastic process

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 1, 2017 erstellt
Other identifiers:	10.2139/ssrn.2828673 [DOI]
Classification:	C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012968356