Option Pricing with Levy-Stable Processes
Álvaro Cartea () and
OFRC Working Papers Series from Oxford Financial Research Centre
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.
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Persistent link: https://EconPapers.repec.org/RePEc:sbs:wpsefe:2004mf01
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