Abstract
Exponential Lévy models generalize the classical Black and Scholes setup by allowing the stock prices to jump while preserving the independence and stationarity of returns. This article introduces most common examples of such models and discusses the pricing and hedging of options in this framework.
| Original language | English |
|---|---|
| Title of host publication | Encyclopedia of Quantitative Finance |
| Publisher | wiley |
| Pages | 1-6 |
| Number of pages | 6 |
| ISBN (Electronic) | 9780470061602 |
| ISBN (Print) | 9780470057568 |
| DOIs | |
| Publication status | Published - 1 Jan 2010 |
Keywords
- Fourier transform option pricing
- Lévy process
- smile modeling
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