Option Pricing with Levy-Stable Processes
@inproceedings{Cartea2004OptionPW, title={Option Pricing with Levy-Stable Processes}, author={{\'A}lvaro Cartea and S. 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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