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A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes · Study

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PreprintA Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes

Alan Lewis2001

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Preprintgreen2001

A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes

316 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Probability and Risk Models

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References

1976Option pricing when underlying stock returns are discontinuous 1999Option valuation using the fast Fourier transform 1998The Variance Gamma Process and Option Pricing 1997Processes of normal inverse Gaussian type 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets 2000Spanning and derivative-security valuation 2003The Finite Moment Log Stable Process and Option Pricing 2000Introduction and Summary of Results (Excerpt)

Cited by

2019The characteristic function of rough Heston models 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions 2004Robust numerical methods for contingent claims under jump diffusion processes 2006Maximum Likelihood Estimation of Latent Affine Processes 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type 2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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2005Modeling Financial Security Returns Using Levy Processespreprint · 8 shared references 2004Option pricing by transform methods: extensions, unification and error controlarticle · 7 shared references 2006SELF‐DECOMPOSABILITY AND OPTION PRICINGarticle · 7 shared references 2013Static Hedging of Standard Optionsarticle · 7 shared references 2004Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processesarticle · 6 shared references 2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACHarticle · 6 shared references

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Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations316

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.282110

openalex_workW2116919581

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2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH

2016THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL