• Corpus ID: 15343762

Option Pricing with Levy-Stable Processes

@inproceedings{Cartea2004OptionPW,
  title={Option Pricing with Levy-Stable Processes},
  author={{\'A}lvaro Cartea and Sam D. Howison},
  year={2004}
}
In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Levy-Stable process. 
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