We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) have obtained that SK is given by the Bate's x% rule. In this paper, we study SK under the absence of that symmetry condition. More...

The computation of Greeks for exponential L\'evy models are usually approached by Malliavin Calculus and other methods, as the Likelihood Ratio and the finite difference method. In this paper we obtain exact formulas for Greeks of European options based on the Lewis formula for the option value....

The aim of this work is to study the pricing problem for derivatives depending on two stocks driven by a bidimensional Lévy process. The main idea is to apply Girsanov's Theorem for Lévy processes, in order to reduce the posed problem to the pricing of a one Lévy driven stock in an auxiliary...

We introduce skewed Lévy models, that have a symmetric jump measure multiplied by dumping exponential factor, in order to study the implied volatility smirk in Lévy markets. The dumping factor depends on a parameter beta, this results in a measure of the skewness of the model. We show that...

Some emergent economies present a high financial dollarization both in loans and deposits. This generates a specific risk in the banking activity. The exchange credit risk is defined as the expected loss resulting of a loan in foreign currency taken by an agent who receives its income in local...