Option Pricing with Levy-Stable Processes
In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Levy-Stable process.
|Date of creation:||2004|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.finance.ox.ac.uk|
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