Analytical Approach to Value Options with State Variables of a Lévy System

DOI10.1023/A:1024525216175MaRDI QIDQ4421494zbMATH OpenFDO

Authors Nguyen Thanh Long

Publication date 28 August 2003

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1024525216175

zbMATH Keywords

characteristic functionFourier transformjump-diffusion processoption pricing

Mathematics Subject Classification ID

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Cited in

(4)

• Lewis model revisited: option pricing with Lévy processes
• Note on multidimensional Breeden-Litzenberger representation for state price densities
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
• PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES

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