Power Style Contracts Under Asymmetric Lévy Processes

In this paper we present new pricing formulas for some Power style contracts of European type when the underlying process is driven by an important class of L´evy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed, extending and complementing in this way previous findings in the literature. Also, we show how to implement our new formulas.

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Year of publication:	2016-05-31
Authors:	Fajardo, José

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Fajardo, José (2016): Power Style Contracts Under Asymmetric Lévy Processes.
Classification:	C52 - Model Evaluation and Testing ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	BASE

Persistent link: https://www.econbiz.de/10015252137