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- W2166468779 abstract "We define a class of regular Lévy processes of exponential type, which contains hyperbolic processes, normal inverse gaussian processes and Lévy processes of Koponen’s family. We show that infinitesimal generators of these processes and corresponding generalized Black-Scholes equations enjoy common fairly favorable features from the point of view of the theory of pseudo-differential operators, and these properties are independent of a choice of an equivalent martingale measure (EMM) from a wide class of EMM. We discuss possible ways of fitting parameters of regular Lévy processes of exponential type and EMM to data, derive an explicit formula for a locally risk-minimizing hedging ratio and show that it is Hölder continuous for options at the money, at expiry date. We derive pricing formulas for some American and barrier options, show that in some cases the principle of the smooth fit fails, and suggest a substitute for it." @default.
- W2166468779 created "2016-06-24" @default.
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- W2166468779 date "2001-01-01" @default.
- W2166468779 modified "2023-10-16" @default.
- W2166468779 title "Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type" @default.
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- W2166468779 doi "https://doi.org/10.1007/978-3-0348-8291-0_11" @default.
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