Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model
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DOI: 10.3390/risks7020036
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. read more here.
Keywords: pricing hedging; model; simple formulas; hedging european ... See more keywords