# 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.

## 9 Citations

### Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance

- Mathematics
- 2006

We show how to calculate European-style option prices when the log-stock price process follows a Lévy-Stable process with index parameter 1 ≤ α ≤ 2 and skewness parameter −1 ≤ β ≤ 1. Key to our…

### The Optimal Hedge Ratio in Option Pricing: The Case of Exponentially Truncated Lévy Stable Distribution

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Abstract In this article, we consider the asymptotic behavior of the realized power variation of processes of the form , where S α is an α-stable process with index of stability 0 < α < 2 and u is a…

### Modeling of financial processes with a space-time fractional diffusion equation of varying order

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- 2016

Abstract In this paper, a new model for financial processes in form of a space-time fractional diffusion equation of varying order is introduced, analyzed, and applied for some financial data. While…

### Rates for branching particle approximations of continuous-discrete filters

- Mathematics
- 2005

Herein, we analyze an efficient branching particle method for asymptotic solutions to a class of continuous-discrete filtering problems. Suppose that t → Xt is a Markov process and we wish to…

### Small noise analysis of time-periodic bistable jump diffusion

- Physics
- 2015

Das kontraintuitive Phanomen der Stochastischen Resonanz beschreibt das Verstarken schwacher periodischer Eingangssignale von nicht linearen Systemen durch Hinzufugen von Rauschtermen mit geringer…

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