Barrier style contracts under Lévy processes once again

DOI10.1007/s10436-017-0303-2zbMath1388.91141OpenAlexW2739700038MaRDI QIDQ1744875

José Fajardo

Publication date: 20 April 2018

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-017-0303-2

zbMATH Keywords

Lévy processesskewnessabsence of symmetrybarrier contracts

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS

Cites Work

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• Maximum likelihood estimation of the double exponential jump-diffusion process
• Analysis of Fourier Transform Valuation Formulas and Applications
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• Financial Modelling with Jump Processes
• Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models
• Skewness premium with Lévy processes
• Symmetry and duality in Lévy markets

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