A general method for pricing European exotic options under Lévy processes

Rossella Agliardi

International Journal of Financial Markets and Derivatives, 2011, vol. 2, issue 3, 209-222

Abstract: A new option pricing formula is presented that unifies several results of the existing literature on exotic option pricing under Lèvy processes and generates new valuation formulas within the Lévy framework. To demonstrate the flexibility of the method a few examples are given and the known Gaussian formulas are obtained as special cases of ours.

Keywords: Levy processes; option pricing; European exotic options; Gaussian formulas. (search for similar items in EconPapers)
Date: 2011
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