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.
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 |
File in questo prodotto:
Eventuali allegati, non sono esposti
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.