Cartea, ÁlvaroHowison, Sam2011-09-262011-09-262009-06Quantitative Finance, 2009, v. 9, n. 4, pp. 397-4091469-7688https://hdl.handle.net/10016/12186We 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 Τapplication/pdfeng©Taylor & FrancisCommodity marketsCommodity pricesLévy processHedging techniquesresearch articleEmpresa10.1080/14697680902748506open access3974409Quantitative Finance9