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http://hdl.handle.net/10016/12059
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| Title: | Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance |
| Author(s): | Cartea, Álvaro [acartea]
Howison, Sam |
| Issued date: | 13-Jan-2009 |
| URI: | http://hdl.handle.net/10016/12059 |
| Abstract: | We 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 |
| Other version: | http://hdl.handle.net/10016/12186 |
| Keywords: | Lévy-Stable processes
Stable Paretian hypothesis
Stochastic volatility
α-stable processes
Option pricing
Time-changed Brownian motion |
| Appears in Collections: | Economists Online
DEE - Otros documentos
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