Option pricing under some Lévy-like stochastic processes

DOI10.1016/j.aml.2010.11.015zbMath1203.91279OpenAlexW2052245368MaRDI QIDQ617036

Rossella Agliardi

Publication date: 20 January 2011

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2010.11.015

zbMATH Keywords

smileLévy processesoption pricingpseudo differential operators

Mathematics Subject Classification ID

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

Cites Work

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• The quintessential option pricing formula under Lévy processes
• The fundamental solution for pseudo-differential operators of parabolic type
• A comprehensive mathematical approach to exotic option pricing
• Complete Models with Stochastic Volatility
• From local volatility to local Lévy models
• Feller processes of normal inverse Gaussian type
• Stochastic Volatility for Lévy Processes

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