Barrier Options under L\'evy Processes: a Simple Short-Cut
AbstractIn this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations can be obtained.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1303.6340.
Date of creation: Mar 2013
Date of revision: May 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-30 (All new papers)
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