Option Pricing with Levy-Stable Processes
In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Levy-Stable process.
Year of publication: |
2004
|
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Authors: | Cartea, Alvaro ; Howison, Sam |
Institutions: | Finance Research Centre, Oxford University |
Saved in:
freely available
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