Option Pricing Under Lévy Processes: A Unifying Formula
AbstractA new option pricing formula is presented that unifies several results of the existing literature on pricing exotic options under Lèvy processes. To demonstrate the flexibility of the formula a few examples are given which provide new valuation formulas within the Lévy framework
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Bibliographic InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 18_09.
Date of creation: Jan 2009
Date of revision: Jan 2009
Lévy processes; pseudo differential operators; option pricing;
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