Study of Lévy Processes in Financial Modeling

This study shows how to simulate Lévy process to price options and also demonstrate empirically that Lévy process can do a better job explaining option prices than Black-Scholes Model. This study also shows how to simulate Wiener process

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Year of publication:	2011
Authors:	Peng, Yun
Other Persons:	Bahamin, Payam (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Optionspreistheorie \| Option pricing theory \| Portfolio-Management \| Portfolio selection

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