APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING

DOI10.1142/S0219024910005681zbMath1206.91079MaRDI QIDQ3560080

John Crosby, Nolwenn le Saux, Aleksandar Mijatović

Publication date: 19 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005681

zbMATH Keywords

Lévy process; barrier options; pricing of derivative securities; CGMY/KoBol model; hyperexponential jump-diffusion process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work

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• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing