Barrier Options under L\'evy Processes: a Simple Short-Cut

José Fajardo ()

Papers from arXiv.org

Abstract: In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations can be obtained.

Date: 2013-03, Revised 2013-05
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1303.6340

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