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

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