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 Lèvy 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:||Jan 2009|
|Contact details of provider:|| Postal: Via Patara, 3, 47921 Rimini (RN)|
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