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...

In this paper we present new pricing formulas for some Power style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed,...