How to price efficiently European options in some geometric Lévy processes models?

in International Journal of Business, 13 (4)

ISSN : 1083-4346

Quittard-Pinon, François (1945-....) ; Randrianarivony, Rivo

Voir la revue «International Journal of Business»

This paper presents the implementation to the class of jump diffusion models of the approach used by Boyarchenko and Levendorskiĭ (2002) in the case of exponential Lévy models. We show that this approach is more computationally efficient than the semi-closed form solutions formerly obtained by Kou (2002). A brand new model is then presented. It extends and generalizes Kou model.

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