Simple formulas for pricing and hedging European options in the finite moment log-stable model

Jean-Philippe Aguilar and Jan Korbel

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

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Year of publication:	2019
Authors:	Aguilar, Jean-Philippe ; Korbel, Jan
Subject:	stable distributions \| Lévy process \| option pricing \| risk sensitivities \| P&L explain \| Optionspreistheorie \| Option pricing theory \| Hedging \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading \| Risiko \| Risk \| Volatilität \| Volatility \| Statistische Verteilung \| Statistical distribution

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks7020036 [DOI] hdl:10419/257874 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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