Publication: Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance
dc.affiliation.dpto | UC3M. Departamento de Economía de la Empresa | es |
dc.contributor.author | Cartea, Álvaro | |
dc.contributor.author | Howison, Sam | |
dc.date.accessioned | 2011-09-12T17:39:31Z | |
dc.date.available | 2011-09-12T17:39:31Z | |
dc.date.issued | 2009-01-13 | |
dc.description.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 | |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/12059 | |
dc.language.iso | eng | |
dc.relation.hasversion | http://hdl.handle.net/10016/12186 | |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | Empresa | |
dc.subject.other | Lévy-Stable processes | |
dc.subject.other | Stable Paretian hypothesis | |
dc.subject.other | Stochastic volatility | |
dc.subject.other | α-stable processes | |
dc.subject.other | Option pricing | |
dc.subject.other | Time-changed Brownian motion | |
dc.title | Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance | |
dc.type | working paper | * |
dc.type.hasVersion | SMUR | * |
dspace.entity.type | Publication |
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