The value of power-related options under spectrally negative Lévy processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
https://link.springer.com/content/pdf/10.1007/s11147-020-09174-0.pdf
Reference49 articles.
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3. Aguilar, J Ph, & Korbel, J. (2019). Simple formulas for pricing and hedging European options in the finite moment log-stable model. Risks, 7, 36.
4. Avram, F., Chan, T., & Usabel, M. (2002). On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr’s approximation for American puts. Stochastic Processes and Their Applications, 100, 75–107.
5. Bakshi, G., & Madan, D. (2000). Spanning and derivative-security valuation. Journal of Financial Economics, 55, 205–238.
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