Work

A comprehensive method for exotic option pricing

Year: 2010

Type: preprint

Abstract: This work illustrates how several new pricing formulas for exotic options can be derived within a Levy framework by employing a unique pricing expression. Many existing pricing formulas of the traditional Gaussian model are obtained as a by-product.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.1001.3308

Author: Agliardi, Rossella

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1553510556

Cites: 24

Cited by: 1

Related to: 20