Power Style Contracts Under Asymmetric Lévy Processes

José Fajardo ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we present new pricing formulas for some Power style contracts of European type when the underlying process is driven by an important class of L´evy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed, extending and complementing in this way previous findings in the literature. Also, we show how to implement our new formulas.

Keywords: Skewness; L´evy processes; Absence of symmetry; Power contracts (search for similar items in EconPapers)
JEL-codes: C52 G12 G13 (search for similar items in EconPapers)
Date: 2016-05-31
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