Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model

Jean-Philippe Aguilar and Jan Korbel
Additional contact information
Jean-Philippe Aguilar: BRED Banque Populaire, Modeling Department, 18 quai de la Râpée, 75012 Paris, France
Jan Korbel: Section for the Science of Complex Systems, Center for Medical Statistics, Informatics, and Intelligent Systems (CeMSIIS), Medical University of Vienna, Spitalgasse 23, 1090 Vienna, Austria

Risks, 2019, vol. 7, issue 2, 1-14

Abstract: We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

Keywords: stable distributions; Lévy process; option pricing; risk sensitivities; P&L explain (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.mdpi.com/2227-9091/7/2/36/pdf (application/pdf)
https://www.mdpi.com/2227-9091/7/2/36/ (text/html)

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:gam:jrisks:v:7:y:2019:i:2:p:36-:d:219656

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().