Authors: Rossella Agliardi
Addresses: Department Matemates, University of Bologna, via le Filopanti n.5 – Bologna 40100, Italy; Faculty of Economics in Rimini, via Angherà n.22 – Rimini 47900, Italy
Abstract: A new option pricing formula is presented that unifies several results of the existing literature on exotic option pricing under Lèvy processes and generates new valuation formulas within the Lévy framework. To demonstrate the flexibility of the method a few examples are given and the known Gaussian formulas are obtained as special cases of ours.
Keywords: Levy processes; option pricing; European exotic options; Gaussian formulas.
International Journal of Financial Markets and Derivatives, 2011 Vol.2 No.3, pp.209 - 222
Published online: 18 Sep 2011 *Full-text access for editors Access for subscribers Purchase this article Comment on this article