OPTION PRICING FOR TRUNCATED LÉVY PROCESSES

Svetlana Boyarchenko and Sergei Z. Levendorskiǐ
Additional contact information
Sergei Z. Levendorskiǐ: Rostov State Academy of Economy, 69, B. Sadovaya, Rostov-on-Don, 344007, Russia

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 549-552

Abstract: A general class of truncated Lévy processes is introduced, and possible ways of fitting parameters of the constructed family of truncated Lévy processes to data are discussed. For a market of a riskless bond and a stock whose log-price follows a truncated Lévy process, TLP-analogs of the Black–Scholes equation, the Black–Scholes formula, the Dynkin derivative and the Leland's model are obtained, a locally risk-minimizing portfolio is constructed, and an optimal exercise price for a perpetual American put is computed.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (45)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024900000541
Access to full text is restricted to subscribers

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:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000541

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024900000541

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().