OPTION PRICING UNDER LÉVY PROCESSES: A UNIFYING FORMULA

Rossella Agliardi ()
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Rossella Agliardi: Department MatemateS and Faculty of Economics in Rimini, University of Bologna, Italy

Working Paper series from Rimini Centre for Economic Analysis

Abstract: A new option pricing formula is presented that unifies several results of the existing literature on pricing exotic options under Lévy processes. To demonstrate the flexibility of the formula a few examples are given which provide new valuation formulas within the Lévy framework

Keywords: Lévy processes; pseudo differential operators; option pricing (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2009-01
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:18_09

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