Publication:
Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorCartea, Álvaro
dc.contributor.authorHowison, Sam
dc.date.accessioned2011-09-26T15:50:05Z
dc.date.available2011-09-26T15:50:05Z
dc.date.issued2009-06
dc.description.abstractWe show how to calculate European-style option prices when the log-stock price process follows a Lévy-Stable process with index parameter 1≤α≤2 and skewness parameter -1≤β≤1. Key to our result is to model integrated variance as an increasing Lévy-Stable process with continuous paths in Τ
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationQuantitative Finance, 2009, v. 9, n. 4, pp. 397-409
dc.identifier.doi10.1080/14697680902748506
dc.identifier.issn1469-7688
dc.identifier.publicationfirstpage397
dc.identifier.publicationissue4
dc.identifier.publicationlastpage409
dc.identifier.publicationtitleQuantitative Finance
dc.identifier.publicationvolume9
dc.identifier.urihttps://hdl.handle.net/10016/12186
dc.language.isoeng
dc.publisherTaylor & Francis
dc.relation.isversionofhttp://hdl.handle.net/10016/12059
dc.relation.publisherversionhttp://dx.doi.org/10.1080/14697680902748506
dc.rights©Taylor & Francis
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherCommodity markets
dc.subject.otherCommodity prices
dc.subject.otherLévy process
dc.subject.otherHedging techniques
dc.titleOption pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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