Barrier Options under L\'evy Processes: a Simple Short-Cut
Pricing of Securities
2013-05-07 v3 Probability
Abstract
In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations can be obtained.
Cite
@article{arxiv.1303.6340,
title = {Barrier Options under L\'evy Processes: a Simple Short-Cut},
author = {José Fajardo},
journal= {arXiv preprint arXiv:1303.6340},
year = {2013}
}
Comments
http://ssrn.com/abstract=2239427