L\'{e}vy driven models and derivative pricing
Applications
2013-06-18 v1
Abstract
We develop a general method for derivative pricing. This approach has its roots in Shannon's Information Theory. The notion of -analyticity of L\'{e}vy models is introduced on the basis of which new representations of the pricing integral are obtained. It is shown that popular in applications L\'{e}vy models are -analytic. We apply these results to derive a general algorithm for pricing of European call options.
Cite
@article{arxiv.1306.3762,
title = {L\'{e}vy driven models and derivative pricing},
author = {Alexander Kushpel and Jeremy Levesley},
journal= {arXiv preprint arXiv:1306.3762},
year = {2013}
}