Publication: Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance
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2009-06
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Taylor & Francis
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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
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Commodity markets, Commodity prices, Lévy process, Hedging techniques
Bibliographic citation
Quantitative Finance, 2009, v. 9, n. 4, pp. 397-409