Cartea, Alvaro and Howison, S. (2006) Option pricing with Lévy-Stable processes generated by Lévy-Stable Integrated Variance. Working Paper. Birkbeck, University of London, London, UK.
|
Text
26942.pdf - Draft Version Download (337kB) | Preview |
Official URL: http://www.bbk.ac.uk/ems/research/wp
Abstract
In this paper we show how to calculate European-style option prices when the log-stock price process follows a L´evy-Stable process with index parameter 1 ≤ α ≤ 2 and skewness parameter −1 ≤ β ≤ 1. Key to our result is to model integrated variance RT t σ2 sds as an increasing L´evy-Stable process with continuous paths.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 0602 |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 28 Mar 2019 07:06 |
| Last Modified: | 13 Apr 2025 14:31 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26942 |
Statistics
Downloads
Activity Overview
6 month trend
6 month trend
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
Edit/View Item
