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...

Consider a model of a financial market with a stock driven by a Lévy process and constant interest rate. A closed formula for prices of perpetual American call options in terms of the overall supremum of the Lévy process, and a corresponding closed formula for perpetual American put options...

The aim of this work is to use a duality approach to study the pricing of 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 a problem with one Lévy driven stock...

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....

We study the skewness premium (SK) introduced by Bates [<italic>J. Finance</italic>, 1991, <bold>46</bold>(3), 1009-1044] in a general context using Lévy processes. Under a symmetry condition, Fajardo and Mordecki [<italic>Quant. Finance</italic>, 2006, <bold>6</bold>(3), 219-227] obtained that SK is given by Bates' <italic>x</italic>% rule. In this paper, we study SK...

type="main" xml:id="sjos12033-abs-0001" <title type="main">ABSTRACT</title>We study the asymptotic behaviour of the maximum likelihood estimator corresponding to the observation of a trajectory of a skew Brownian motion, through a uniform time discretization. We characterize the speed of convergence and the limiting...

The aim of this paper is to introduce the notion of symmetry in a Levy market. This notion appears as a particular case of a general known relation between prices of put and call options, of both the European and the American type, which is also reviewed in the paper, and that we call put-call...

In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.

We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. We obtain sufficient and necessary conditions for Bate's x% rule to hold. Then, we derive sufficient conditions for SK to be positive, in terms of the characteristic triplet of the Lévy...

In this paper we study the pricing problem of derivatives written in terms of a two dimensional Time-changed Lévy processes. Then, we examine an existing relation between prices of put and call options, of both the European and the American type. This relation is called put-call duality. It...