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Lewis Model Revisited: Option Pricing with Lévy Processes

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Published in 2020 at "Bulletin of the Malaysian Mathematical Sciences Society"

DOI: 10.1007/s40840-020-01025-3

Abstract: This paper aims to discuss the mathematical details in Lewis’ model by considering the analyticity and integrability conditions of characteristic functions and payoff functions of contingent claims. In his seminal paper, Lewis shows that it… read more here.

Keywords: lewis model; model; model revisited; option pricing ... See more keywords