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• W2129318400 abstract "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 result is to model integrated variance as an increasing Lévy-Stable process with continuous paths in T." @default.
• W2129318400 created "2016-06-24" @default.
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• W2129318400 date "2009-06-01" @default.
• W2129318400 modified "2023-09-26" @default.
• W2129318400 title "Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance" @default.
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• W2129318400 doi "https://doi.org/10.1080/14697680902748506" @default.
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