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Option Pricing with Levy-Stable Processes

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  • Alvaro Cartea
  • Sam Howison

Abstract

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.

Suggested Citation

  • Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre.
    • Handle: RePEc:sbs:wpsefe:2004mf01
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    File URL: http://www.finance.ox.ac.uk/file_links/finecon_papers/2004mf01.pdf
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