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Option Pricing Under Lévy Processes: A Unifying Formula

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Author Info
Rossella Agliardi () ( Department MatemateS and Faculty of Economics in Rimini, University of Bologna, Italy)
Abstract

A 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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File URL: http://www.rcfea.org/RePEc/pdf/wp18_09.pdf
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Publisher Info
Paper provided by Rimini Centre for Economic Analysis in its series Working Paper Series with number wp18_09.

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Date of creation: Jan 2009
Date of revision: Jan 2009
Handle: RePEc:rim:rimwps:wp18_09

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Related research
Keywords: Lévy processes; pseudo differential operators; option pricing;

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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This page was last updated on 2009-12-2.

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