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Aguilar, Jean-Philippe [Author]; Korbel, Jan [Author]

Simple formulas for pricing and hedging European options in the finite moment log-stable model

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  • Media type: E-Article
  • Title: Simple formulas for pricing and hedging European options in the finite moment log-stable model
  • Contributor: Aguilar, Jean-Philippe [Author]; Korbel, Jan [Author]
  • Published: Basel: MDPI, 2019
  • Language: English
  • DOI: https://doi.org/10.3390/risks7020036
  • ISSN: 2227-9091
  • Keywords: Lévy process ; stable distributions ; option pricing ; P&L explain ; risk sensitivities
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.
  • Access State: Open Access
  • Rights information: Attribution (CC BY)