Exponential Lévy Models

Peter Tankov

doi:10.1002/9780470061602.eqf08031

Exponential Lévy Models

Peter Tankov

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Résumé

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.

langue originale	Anglais
titre	Encyclopedia of Quantitative Finance
Editeur	wiley
Pages	1-6
Nombre de pages	6
ISBN (Electronique)	9780470061602
ISBN (imprimé)	9780470057568
Les DOIs	https://doi.org/10.1002/9780470061602.eqf08031
état	Publié - 1 janv. 2010

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10.1002/9780470061602.eqf08031

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Exponential Lévy Models

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