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

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

José Fajardo (Contact Author)

Getulio Vargas Foundation ( email )

Brazil
55213799 5781 (Phone)

HOME PAGE: http://www.josefajardo.com

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