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Option Pricing with Levy-Stable Processes

Álvaro Cartea () and Sam Howison

OFRC Working Papers Series from Oxford Financial Research Centre

Abstract: In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Levy-Stable process.

Date: 2004
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