Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance

Álvaro Cartea () and Sam Howison

No 602, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Keywords: Levy-Stable processes; stable Paretian hypothesis; stochastic volatility; alpha-stable processes; option pricing; time-changed Brownian motion. (search for similar items in EconPapers)
Date: 2006-02
New Economics Papers: this item is included in nep-fin
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https://eprints.bbk.ac.uk/id/eprint/26942 First version, 2006 (application/pdf)

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Journal Article: Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance (2009)
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