Option pricing with Lévy-Stable processes generated by Lévy-Stable Integrated Variance
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.
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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: | 02 Aug 2023 17:50 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/26942 |
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