Non-Gaussian analytic option pricing: a closed formula for the L\'evy-stable model

Jean-Philippe Aguilar, Cyril Coste and Jan Korbel

Papers from arXiv.org

Abstract: We establish an explicit pricing formula for the class of L\'evy-stable models with maximal negative asymmetry (Log-L\'evy model with finite moments and stability parameter $1

Date: 2016-09, Revised 2017-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1609.00987

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