Download This PaperHow to Price Efficiently European Options in Some Geometric Lévy Processes Models?
19 Pages Posted: 6 Jul 2007
Date Written: July 2007
Abstract
This paper presents the implementation to the class of jump diffusion models of the approach used by Boyarchenko and Levendorskii (2002) in the case of exponential Lévy models. We show that this approach is more computationally efficient than the semi closed form solutions derived by Kou (2002), especially compared to the latter case. A brand new model is then presented. It extends and generalizes Kou model.
Keywords: jump diffusion, option pricing, Fourier transform, Lévy models
JEL Classification: C63, G13
Suggested Citation: Suggested Citation
Quittard-Pinon, Francois and Randrianarivony, Rivo A, How to Price Efficiently European Options in Some Geometric Lévy Processes Models? (July 2007). Available at SSRN: https://ssrn.com/abstract=998312 or http://dx.doi.org/10.2139/ssrn.998312
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