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Barrier style contracts under Lévy processes once again

José Fajardo (pepefb@gmail.com)

Annals of Finance, 2018, vol. 14, issue 1, No 3, 93-103

Abstract: Abstract In this paper we present new pricing formulas for some Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed, complementing in this way previous findings in Fajardo (J Bank Financ 53:179–187, 2015). Also, we show how to implement our new formulas.

Keywords: Skewness; Lévy processes; Absence of symmetry; Barrier contracts (search for similar items in EconPapers)
JEL-codes: C52 G12 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10436-017-0303-2

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