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
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://link.springer.com/10.1007/s10436-017-0303-2 Abstract (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0303-2
Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10436/PS2
DOI: 10.1007/s10436-017-0303-2
Access Statistics for this article
Annals of Finance is currently edited by Anne Villamil
More articles in Annals of Finance from Springer
Bibliographic data for series maintained by Sonal Shukla (sonal.shukla@springer.com) and Springer Nature Abstracting and Indexing (indexing@springernature.com).