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Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance

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Author Info
Alvaro Cartea (Department of Economics, Mathematics & Statistics, Birkbeck)
Sam Howison

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Abstract

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File URL: http://www.ems.bbk.ac.uk/research/wp/PDF/BWPEF0602.pdf
File Format: application/pdf
File Function: First version, 2006
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Publisher Info
Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0602.

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Date of creation: Feb 2006
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Handle: RePEc:bbk:bbkefp:0602

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Related research
Keywords: Levy-Stable processes; stable Paretian hypothesis; stochastic volatility; alpha-stable processes; option pricing; time-changed Brownian motion.;

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  1. Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre. [Downloadable!]
  2. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
  3. Fama, Eugene F, 1971. "Risk, Return, and Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 79(1), pages 30-55, Jan.-Feb.. [Downloadable!] (restricted)
  4. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September. [Downloadable!] (restricted)
  5. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-778, 04. [Downloadable!] (restricted)
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  6. Elisa Nicolato & Emmanouil Venardos, 2003. "Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type," Mathematical Finance, Blackwell Publishing, vol. 13(4), pages 445-466. [Downloadable!] (restricted)
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