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A comprehensive method for exotic option pricing

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  • Rossella Agliardi

Abstract

This work illustrates how several new pricing formulas for exotic options can be derived within a Levy framework by employing a unique pricing expression. Many existing pricing formulas of the traditional Gaussian model are obtained as a by-product.

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  • Rossella Agliardi, 2010. "A comprehensive method for exotic option pricing," Papers 1001.3308, arXiv.org.
    • Handle: RePEc:arx:papers:1001.3308
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    References listed on IDEAS

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    1. Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003. "Stochastic Volatility for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382, July.
    2. Agliardi, Rossella, 2006. "Options to expand: Some remarks," Finance Research Letters, Elsevier, vol. 3(1), pages 65-72, March.
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