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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… Click to show full abstract
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.
Keywords:
pricing hedging;
model;
simple formulas;
hedging european;
european options;
formulas pricing
Journal Title: Risks
Year Published: 2019
Link to full text (if available)
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Journal Title: Risks
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!