A general method for pricing European exotic options under Lévy processes. (19th September 2011)
- Record Type:
- Journal Article
- Title:
- A general method for pricing European exotic options under Lévy processes. (19th September 2011)
- Main Title:
- A general method for pricing European exotic options under Lévy processes
- Authors:
- Agliardi, Rossella
- Abstract:
- A new option pricing formula is presented that unifies several results of the existing literature on exotic option pricing under Lèvy processes and generates new valuation formulas within the Lévy framework. To demonstrate the flexibility of the method a few examples are given and the known Gaussian formulas are obtained as special cases of ours.
- Is Part Of:
- International journal of financial markets and derivatives. Volume 2:Number 3(2011)
- Journal:
- International journal of financial markets and derivatives
- Issue:
- Volume 2:Number 3(2011)
- Issue Display:
- Volume 2, Issue 3 (2011)
- Year:
- 2011
- Volume:
- 2
- Issue:
- 3
- Issue Sort Value:
- 2011-0002-0003-0000
- Page Start:
- 209
- Page End:
- 222
- Publication Date:
- 2011-09-19
- Subjects:
- Lévy processes -- option pricing -- exotic options
Derivative securities -- Mathematical models -- Periodicals
Capital market -- Periodicals
332.605 - Journal URLs:
- http://www.inderscience.com/browse/index.php?journalID=307 ↗
http://www.inderscience.com/ ↗ - Languages:
- English
- ISSNs:
- 1756-7130
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 8665.xml