Beyond Black-Scholes: semimartingales and Lévy processes for option pricing

S. Galluccio
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S. Galluccio: Structured products research; Commerzbank Securities 60 Gracechurch Street, London, UK

The European Physical Journal B: Condensed Matter and Complex Systems, 2001, vol. 20, issue 4, 595-600

Abstract: Abstract: We consider the problem of option pricing when the underlying asset follows a general semimartingale process. After reviewing the foundations of arbitrage pricing theory for semimartingales and the link with Lévy processes, we introduce a general method to price options in this framework based on Fourier and Wavelet analysis.

Keywords: PACS. 02.50.Ey Stochastic processes – 89.65.Gh Economics; business; and financial markets – 02.60.Gf Algorithms for functional approximation (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/s100510170247

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