Archivo Abierto Institucional de la Universidad Carlos III de Madrid: Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance

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Archivo Abierto Institucional de la Universidad Carlos III de Madrid > Investigación > Departamentos > Departamento de Economía de la Empresa > DEE - Artículos de Revistas >

Please use this identifier to cite or link to this item: http://hdl.handle.net/10016/12186

Google™ Scholar. Others By: Cartea, Álvaro - Howison, Sam

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Title:	Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance
Author(s):	Cartea, Álvaro [acartea] Howison, Sam
Publisher:	Taylor & Francis
Issued date:	Jun-2009
Citation:	Quantitative Finance, 2009, v. 9, n. 4, pp. 397-409
URI:	http://hdl.handle.net/10016/12186
ISSN:	1469-7688
DOI:	http://dx.doi.org/10.1080/14697680902748506
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
Version of:	http://hdl.handle.net/10016/12059
Publisher version:	http://dx.doi.org/10.1080/14697680902748506
Keywords:	Commodity markets Commodity prices Lévy process Hedging techniques
Rights:	©Taylor & Francis
Appears in Collections:	Economists Online DEE - Artículos de Revistas

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