English, Article, Journal or magazine article edition: OPTION PRICING UNDER LÉVY PROCESSES: A UNIFYING FORMULA Rossella Agliardi

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Bookmark: http://trove.nla.gov.au/version/25486
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • OPTION PRICING UNDER LÉVY PROCESSES: A UNIFYING FORMULA
Author
  • Rossella Agliardi
Physical Description
  • preprint
Notes
  • A new option pricing formula is presented that unifies several results of the existing literature on pricing exotic options under Lèvy processes. To demonstrate the flexibility of the formula a few examples are given which provide new valuation formulas within the Lévy framework
  • Lévy processes, pseudo differential operators, option pricing
  • RePEc:rim:rimwps:wp18_09
Language
  • English
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