Pricing and hedging of contingent claims of European type

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
Additional contact information
Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 4 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 97-120 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Equivalent Martingale Measures in a Lévy marketEsscher transformGeneral casePricing of European options and the generalized Black-Scholes formulaPricing formulas: convolution with the pricing kernel and the Fourier-inversion formulaCall and put optionsNumerical examples: the comparison with the Black-Scholes formula, and the shapes of the smileThe problem of the model fitting and evaluationGeneralized Black-Scholes equation and its properties for different RLPE and different choices of EMM, and implications for parameter fittingOther European optionsPower optionsDigital optionsCombinationsGeneral case: the condition on the rate of growth of the payoff at the infinity and the originHedgingGeneral discussionLocally risk-minimizing hedging ratioContinuity of the locally risk-minimizing hedging ratio till the expiryNumerical ExamplesCommentary

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812777485_0004 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812777485_0004 (text/html)
Ebook Access is available upon purchase.

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:wschap:9789812777485_0004

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().