# The value of power-related options under spectrally negative Lévy processes

@article{Aguilar2019TheVO, title={The value of power-related options under spectrally negative L{\'e}vy processes}, author={Jean-Philippe Aguilar}, journal={Review of Derivatives Research}, year={2019}, volume={24}, pages={173-196} }

We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options etc.) in the framework of exponential Lévy models driven by one-sided stable or tempered stable processes. Pricing formulas take the form of fast converging series of powers of the log-forward moneyness and of the time-to-maturity; these series are obtained via a factorized integral representation in the Mellin space evaluated by means of residues in $$\mathbb {C}$$ C or $$\mathbb {C…

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