Barrier Style Contracts under Asymmetric Lévy Processes
19 Pages Posted: 29 Aug 2015 Last revised: 5 Sep 2015
Date Written: September 4, 2015
Abstract
In this paper we present new pricing formulas for some single Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, that includes CGMY model, Generalized Hyperbolic Model and Mexiner Model, when no symmetry properties are assumed, extending in this way previous findings in the literature. Also, we show how to implement our formulas.
Keywords: Skewness, Lévy processes, Barrier contracts, Asymmetry
JEL Classification: C52; G10
Suggested Citation: Suggested Citation
Fajardo, José, Barrier Style Contracts under Asymmetric Lévy Processes (September 4, 2015). Available at SSRN: https://ssrn.com/abstract=2652396 or http://dx.doi.org/10.2139/ssrn.2652396
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