Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model-Reference-Cited by-同舟云学术

Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model

Published:2019-04-03 Issue:2 Volume:7 Page:36
ISSN:2227-9091
Container-title:Risks
language:en
Short-container-title:Risks

Author:

Aguilar Jean-Philippe,Korbel Jan^ORCID

Abstract

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

Publisher

MDPI AG

Subject

Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting

Link

https://www.mdpi.com/2227-9091/7/2/36/pdf

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