A new option pricing formula is presented that unifies several results on the existing literature on exotic option pricing under Lévy processes and generates new valuation formulas within the Lévy framework. To demonstrate the flexibility of the method a few examples are given and the known Gaussian formulas are obtained as special cases.
A general method for pricing European exotic options under Lévy processes / Agliardi R.. - In: INTERNATIONAL JOURNAL OF FINANCIAL MARKETS AND DERIVATIVES. - ISSN 1756-7130. - STAMPA. - 2:(2011), pp. 209-222.
A general method for pricing European exotic options under Lévy processes
AGLIARDI, ROSSELLA
2011
Abstract
A new option pricing formula is presented that unifies several results on the existing literature on exotic option pricing under Lévy processes and generates new valuation formulas within the Lévy framework. To demonstrate the flexibility of the method a few examples are given and the known Gaussian formulas are obtained as special cases.File in questo prodotto:
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