English

Analytic techniques for option pricing under a hyperexponential L\'{e}vy model

Mathematical Finance 2017-05-18 v1 Pricing of Securities

Abstract

We develop series expansions in powers of q1q^{-1} and q1/2q^{-1/2} of solutions of the equation ψ(z)=q\psi(z) = q, where ψ(z)\psi(z) is the Laplace exponent of a hyperexponential L\'{e}vy process. As a direct consequence we derive analytic expressions for the prices of European call and put options and their Greeks (Theta, Delta, and Gamma) and a full asymptotic expansion of the short-time Black-Scholes at-the-money implied volatility. Further we demonstrate how the speed of numerical algorithms for pricing exotic options, which are based on the Laplace transform, may be increased.

Keywords

Cite

@article{arxiv.1705.05934,
  title  = {Analytic techniques for option pricing under a hyperexponential L\'{e}vy model},
  author = {Daniel Hackmann},
  journal= {arXiv preprint arXiv:1705.05934},
  year   = {2017}
}

Comments

32 pages, 7 Figures

R2 v1 2026-06-22T19:49:13.097Z