Option Pricing Under Lévy Processes: A Unifying Formula
A new option pricing formula is presented that unifies several results of the existing literature on pricing exotic options under Lévy processes. To demonstrate the flexibility of the formula a few examples are given which provide new valuation formulas within the Lévy framework
|Date of creation:||Jan 2009|
|Date of revision:|
|Contact details of provider:|| Postal: Via Patara, 3, 47921 Rimini (RN)|
Web page: http://www.rcfea.org
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:18_09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco Savioli)
If references are entirely missing, you can add them using this form.