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

被引：9

作者：

Aguilar, Jean-Philippe ^{[1
]}

Korbel, Jan ^{[2
,3
,4
]}

机构：

[1] BRED Banque Populaire, Modeling Dept, 18 Quai Rapee, F-75012 Paris, France

[2] Med Univ Vienna, Ctr Med Stat Informat & Intelligent Syst CeMSIIS, Sect Sci Complex Syst, Spitalgasse 23, A-1090 Vienna, Austria

[3] Complex Sci Hub Vienna, Josefstadterstr 39, A-1080 Vienna, Austria

[4] Czech Tech Univ, Fac Nucl Sci & Phys Engn, Prague 11519, Czech Republic

来源：

RISKS | 2019年 / 7卷 / 02期

基金：

奥地利科学基金会;

关键词：

stable distributions; Levy process; option pricing; risk sensitivities; P&L explain; VOLATILITY;

D O I：

10.3390/risks7020036

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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

引用

页数：14

共 27 条

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