OPTION PRICING UNDER LÉVY PROCESSES: A UNIFYING FORMULA

A new option pricing formula is presented that unifies several results of the existing literature on pricing exotic options under Lèvy processes. To demonstrate the flexibility of the formula a few examples are given which provide new valuation formulas within the Lévy framework

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Year of publication:	2009-01
Authors:	Agliardi, Rossella
Institutions:	Rimini Centre for Economic Analysis (RCEA)
Subject:	Lévy processes \| pseudo differential operators \| option pricing

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Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008487532