RT Journal Article
T1 Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance
A1 Cartea, Álvaro
A1 Howison, Sam
AB 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
PB Taylor & Francis
SN 1469-7688
YR 2009
FD 2009-06
LK https://hdl.handle.net/10016/12186
UL https://hdl.handle.net/10016/12186
LA eng
DS e-Archivo
RD 2 may. 2024