Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14
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.
