A generalization of the Lèvy model for financial options is considered which employs pseudodifferential operators with symbols depending on the state variables throughout a small parameter ε. Adapting the classical method of the construction of a parametrix by means of the pseudodifferential calculus an approximate solution to the pricing problem is derived and its implication in terms of the volatility smile, even in very stylized models, is obtained.

Option pricing under some Lévy-like stochastic processes

AGLIARDI, ROSSELLA
2011

Abstract

A generalization of the Lèvy model for financial options is considered which employs pseudodifferential operators with symbols depending on the state variables throughout a small parameter ε. Adapting the classical method of the construction of a parametrix by means of the pseudodifferential calculus an approximate solution to the pricing problem is derived and its implication in terms of the volatility smile, even in very stylized models, is obtained.
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.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11585/94414
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 2
  • ???jsp.display-item.citation.isi??? 1
social impact