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

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
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 7.2019, 2, p. 1-14
Publisher:	Basel : MDPI
Subject:	stable distributions \| Lévy process \| option pricing \| risk sensitivities \| P&L explain

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks7020036 [DOI] 1667941054 [GVK] hdl:10419/257874 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200454