Next Article in Journal
Asymptotically Normal Estimators of the Ruin Probability for Lévy Insurance Surplus from Discrete Samples
Previous Article in Journal
Mortality Projections for Small Populations: An Application to the Maltese Elderly
Open AccessArticle

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

1
BRED Banque Populaire, Modeling Department, 18 quai de la Râpée, 75012 Paris, France
2
Section for the Science of Complex Systems, Center for Medical Statistics, Informatics, and Intelligent Systems (CeMSIIS), Medical University of Vienna, Spitalgasse 23, 1090 Vienna, Austria
3
Complexity Science Hub Vienna, Josefstädterstrasse 39, 1080 Vienna, Austria
4
Faculty of Nuclear Sciences and Physical Engineering, Czech Technical University, 11519 Prague, Czech Republic
*
Author to whom correspondence should be addressed.
Risks 2019, 7(2), 36; https://doi.org/10.3390/risks7020036
Received: 27 February 2019 / Revised: 29 March 2019 / Accepted: 1 April 2019 / Published: 3 April 2019
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. View Full-Text
Keywords: stable distributions; Lévy process; option pricing; risk sensitivities; P&L explain stable distributions; Lévy process; option pricing; risk sensitivities; P&L explain
Show Figures

Figure 1

MDPI and ACS Style

Aguilar, J.-P.; Korbel, J. Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model. Risks 2019, 7, 36. https://doi.org/10.3390/risks7020036

AMA Style

Aguilar J-P, Korbel J. Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model. Risks. 2019; 7(2):36. https://doi.org/10.3390/risks7020036

Chicago/Turabian Style

Aguilar, Jean-Philippe; Korbel, Jan. 2019. "Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model" Risks 7, no. 2: 36. https://doi.org/10.3390/risks7020036

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop