Option evaluation formulas for some classes of Lévy processes

zbMATH Open1213.91144MaRDI QIDQ3587696FDOQ3587696

Authors: Mircea Nica 

Publication date: 8 September 2010

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zbMATH Keywords

characteristic functionfast Fourier transformLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

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• Lewis model revisited: option pricing with Lévy processes
• Closed-form option pricing for exponential Lévy models: a residue approach
• Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets
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• The value of power-related options under spectrally negative Lévy processes
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• Analytical Approach to Value Options with State Variables of a Lévy System
• Feynman-Kac-formulas for option price valuation in Lévy models.

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