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Barrier Options under L\'evy Processes: a Simple Short-Cut

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  • Jos'e Fajardo

Abstract

In 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.

Suggested Citation

  • Jos'e Fajardo, 2013. "Barrier Options under L\'evy Processes: a Simple Short-Cut," Papers 1303.6340, arXiv.org, revised May 2013.
  • Handle: RePEc:arx:papers:1303.6340
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    File URL: http://arxiv.org/pdf/1303.6340
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