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


  • Jos'e Fajardo


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.

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  • Jos'e Fajardo, 2013. "Barrier Options under L\'evy Processes: a Simple Short-Cut," Papers 1303.6340,, revised May 2013.
  • Handle: RePEc:arx:papers:1303.6340

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