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EnglishThis paper presents a very general option pricing formula incorporating both the Lévy process methodology and the level dependent volatility approach. Since the classical Black-Scholes equation is replaced by a pseudo differential equation, an approximate solution to the pricing problem is obtained throughout the construction of a parametrix by means of the pseudo differential calculus. Some examples are provided and the implications in terms of the volatility smile are studied.
| Titolo: | Option pricing under generalized Lévy processes with state dependent parameters | |
| Autore/i: | AGLIARDI, ROSSELLA | |
| Autore/i Unibo: | ||
| Anno: | 2011 | |
| Titolo del libro: | Proceedings of the 8th international Conference on Applied Financial Economics | |
| Pagina iniziale: | 559 | |
| Pagina finale: | 564 | |
| Abstract: | This paper presents a very general option pricing formula incorporating both the Lévy process methodology and the level dependent volatility approach. Since the classical Black-Scholes equation is replaced by a pseudo differential equation, an approximate solution to the pricing problem is obtained throughout the construction of a parametrix by means of the pseudo differential calculus. Some examples are provided and the implications in terms of the volatility smile are studied. | |
| Data prodotto definitivo in UGOV: | 12-mar-2014 | |
| Appare nelle tipologie: | 2.01 Capitolo / saggio in libro |
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