Cartea, ÁlvaroHowison, Sam2011-09-122011-09-122009-01-13https://hdl.handle.net/10016/12059We 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/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaLévy-Stable processesStable Paretian hypothesisStochastic volatilityα-stable processesOption pricingTime-changed Brownian motionworking paperEmpresaopen access