A comprehensive method for exotic option pricing
Pricing of Securities
2010-01-20 v1
Abstract
This work illustrates how several new pricing formulas for exotic options can be derived within a Levy framework by employing a unique pricing expression. Many existing pricing formulas of the traditional Gaussian model are obtained as a by-product.
Cite
@article{arxiv.1001.3308,
title = {A comprehensive method for exotic option pricing},
author = {Rossella Agliardi},
journal= {arXiv preprint arXiv:1001.3308},
year = {2010}
}