Analytical Aproach to Value Options with State Variables of a Levy System
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References listed on IDEAS
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More about this item
KeywordsLevy Process; Option Pricing; Characteristic Function; Analitical Method; Fourier transform;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-08-19 (All new papers)
- NEP-ETS-2002-08-19 (Econometric Time Series)
- NEP-FIN-2002-08-19 (Finance)
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