The value of power-related options under spectrally negative Lévy processes

DOI10.1007/s11147-020-09174-0zbMath1470.91266arXiv1910.07971OpenAlexW2981072388MaRDI QIDQ2047039

Jean-Philippe Aguilar

Publication date: 19 August 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.07971

zbMATH Keywords

Lévy processstable distributionpower optiontempered stable distributiondigital optiongap optionlog option

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stable stochastic processes (60G52)

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Closed-form option pricing for exponential Lévy models: a residue approach

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