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...

In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Lévy processes, which includes the CGMY model, generalized hyperbolic model and Meixner model, frequently used in the...

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...

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 the pricing of a one Lévy driven stock...

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...